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 (In Press)

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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 for the return volatility of crude oil futures for horizons up to nine months ahead. Moreover, our oil price uncertainty factor outperforms the realized oil price volatility. In addition, our SVAR 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,4* ,/dk/atira/pure/researchoutput/REFrank/4_
Faculty \ School:	Faculty of Social Sciences > Norwich Business School
UEA Research Groups:	Faculty of Social Sciences > Research Groups > Finance Group
Depositing User:	LivePure Connector
Date Deposited:	10 Apr 2025 10:30
Last Modified:	10 Apr 2025 10:30
URI:	https://ueaeprints.uea.ac.uk/id/eprint/99013
DOI:	issn:0270-7314

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