Forecasting oil price volatility: Does oil price uncertainty matter?

Triantafyllou, Athanasios, Vlastakis, Nikolaos and Kellard, Neil (2025) Forecasting oil price volatility: Does oil price uncertainty matter? Journal of Futures Markets. ISSN 0270-7314

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Abstract

In this paper, we empirically examine the predictive power of oil price uncertainty on time-varying volatility in the oil futures market. Quantifying oil price uncertainty as the purely unforecastable component of oil price changes, we find this measure has significant predictive power on the return volatility of crude oil futures for horizons up to 9 months ahead. Moreover, our oil price uncertainty factor outperforms the realized oil price volatility. In addition, our structural vector autoregression model shows that the effect of oil price uncertainty shock on oil-market volatility is higher in magnitude and persistence when compared with the effect of aggregate demand, oil demand, supply, and oil price volatility shocks.

Item Type:	Article
Uncontrolled Keywords:	oil futures market,volatility forecasting,uncertainty,oil supply shocks,oil futures market,volatility forecasting,oil supply shocks,uncertainty,economics and econometrics,accounting,business, management and accounting(all),finance,4* ,/dk/atira/pure/subjectarea/asjc/2000/2002
Faculty \ School:	Faculty of Social Sciences > Norwich Business School
UEA Research Groups:	Faculty of Social Sciences > Research Groups > Finance Group
Related URLs:	http://www.scopus.com/inward/record.url?...
Depositing User:	LivePure Connector
Date Deposited:	10 Apr 2025 10:30
Last Modified:	19 May 2025 13:30
URI:	https://ueaeprints.uea.ac.uk/id/eprint/99013
DOI:	10.1002/fut.22592

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