Forecasting the term structure of volatility of crude oil price changes
dc.contributor.author | Balaban, E. | * |
dc.contributor.author | Lu, Shan | * |
dc.date.accessioned | 2019-03-22T15:30:20Z | |
dc.date.available | 2019-03-22T15:30:20Z | |
dc.date.issued | 2016-04 | |
dc.identifier.citation | Balaban E and Lu S (2016) Forecasting the term structure of volatility of crude oil price changes. Economics Letters. 141: 116-118. | en_US |
dc.identifier.uri | http://hdl.handle.net/10454/16911 | |
dc.description | Yes | |
dc.description.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. | en_US |
dc.language.iso | en | en_US |
dc.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. | en_US |
dc.subject | Volatility term structure | |
dc.subject | Square-root-of-time rule | |
dc.subject | Forecasting | |
dc.subject | Forecast evaluation | |
dc.subject | Oil prices | |
dc.title | Forecasting the term structure of volatility of crude oil price changes | en_US |
dc.status.refereed | Yes | |
dc.date.application | 22/02/2016 | |
dc.type | Article | |
dc.type.version | Accepted manuscript | |
dc.identifier.doi | https://doi.org/10.1016/j.econlet.2016.02.015 | |
refterms.dateFOA | 2019-03-22T15:30:20Z | |
dc.openaccess.status | openAccess | |
dc.date.accepted | 15/02/2016 |