United States Oil Fund volatility prediction: the roles of leverage effect and jumps
2021
We investigate United States Oil Fund volatility predictions using a mixed data sampling modeling framework. There are several vital findings. First, our in-sample analysis shows that both the leverage effect and intraday jumps have a significant impact on the United States Oil Fund realized volatility. Second, our out-of-sample analyses suggest that incorporating the leverage effect can largely improve the United States Oil Fund realized volatility forecasts. Third, using a portfolio exercise, we show that the improved realized volatility forecasts lead to significantly increased economic values. Our results are confirmed by a wide range of robustness checks.
Keywords:
- Correction
- Source
- Cite
- Save
- Machine Reading By IdeaReader
57
References
0
Citations
NaN
KQI