Macroeconomic Uncertainty and Crude Oil Futures Volatility–Evidence from China Crude Oil Futures Market

Macroeconomic Uncertainty and Crude Oil Futures Volatility–Evidence from China Crude Oil Futures Market

This paper investigates whether the macroeconomic uncertainty factors can explain and forecast China’s INE crude oil futures market volatility. We use the GARCH-MIDAS model to investigate the explaining and predicting power of the macroeconomic uncertainties. We considered various geopolitical risk...

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Bibliographic Details
Main Authors: Adan Yi, Menglong Yang, Yongshan Li
Format: Article
Language:English
Published: Frontiers Media S.A. 2021-03-01
Series:Frontiers in Environmental Science
Subjects:
crude oil price
realized measures
GRACH-MIDAS models
macroeconomic uncertainty
volatility forecast
Online Access:https://www.frontiersin.org/articles/10.3389/fenvs.2021.636903/full

Internet

https://www.frontiersin.org/articles/10.3389/fenvs.2021.636903/full

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