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    Forecasting the term structure of volatility of crude oil price changes

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    Lu_Economics_Letters.pdf (201.0Kb)
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    Publication date
    2016-04
    Author
    Balaban, E.
    Lu, Shan
    Keyword
    Volatility term structure
    Square-root-of-time rule
    Forecasting
    Forecast evaluation
    Oil prices
    Rights
    © 2016 Elsevier B.V. All rights reserved. Reproduced in accordance with the publisher's self-archiving policy. This manuscript version is made available under the CC-BY-NC-ND 4.0 license.
    Peer-Reviewed
    Yes
    
    Metadata
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    Abstract
    This is a pioneering effort to test the comparative performance of two competing models for out-of-sample forecasting the term structure of volatility of crude oil price changes employing both symmetric and asymmetric evaluation criteria. Under symmetric error statistics, our empirical model using the estimated growth factor of volatility through time is overall superior, and it beats in most cases the benchmark model of the square-root-of-time for holding periods between one and 250 days. Under asymmetric error statistics, if over-prediction (under-prediction) of volatility is undesirable, the empirical (benchmark) model is consistently superior. Relative performance of the empirical model is much higher for holding periods up to fifty days.
    URI
    http://hdl.handle.net/10454/16911
    Version
    Accepted manuscript
    Citation
    Balaban E and Lu S (2016) Forecasting the term structure of volatility of crude oil price changes. Economics Letters. 141: 116-118.
    Link to publisher’s version
    https://doi.org/10.1016/j.econlet.2016.02.015
    Type
    Article
    Collections
    Management and Law Publications

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