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Forecasting the term structure of volatility of crude oil price changes

Balaban, E., Lu, S. (2016) Forecasting the term structure of volatility of crude oil price changes. Economics Letters, 141 . pp. 116-118. ISSN 0165-1765. (doi:10.1016/j.econlet.2016.02.015) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:89964)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1016/j.econlet.2016.02.015

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 (T) 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. © 2016 Elsevier B.V.

Item Type: Article
DOI/Identification number: 10.1016/j.econlet.2016.02.015
Uncontrolled keywords: Volatility term structure, Square-root-of-time rule, Forecasting, Forecast evaluation, Oil prices
Subjects: H Social Sciences
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Shan Lu
Date Deposited: 31 Aug 2021 10:58 UTC
Last Modified: 03 Sep 2021 12:43 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/89964 (The current URI for this page, for reference purposes)
Lu, S.: https://orcid.org/0000-0002-7588-8599
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