首页|The role of oil futures intraday information on predicting US stock market volatility

The role of oil futures intraday information on predicting US stock market volatility

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This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework. In-sample results indicate that oil futures intraday information is helpful to increase the predictability. Moreover, compared to the benchmark model, the proposed models improve their predictive ability with the help of oil futures realized volatility. In particular, the multivariate HAR model outperforms the univariate model. Accordingly, considering the contemporaneous connection is useful to predict the US stock market volatility. Furthermore, these findings are consistent across a variety of robust checks.

Volatility forecastingThe US stock MarketOil market volatilityRealized volatilityDCC model

Yusui Tang、Xiao Xiao、M.I.M.Wahab、Feng Ma

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School of Economics&Management,Southwest Jiaotong University,Chengdu,China

Department of Mechanical and Industrial Engineering,Ryerson University,Toronto,Canada

Natural Science Foundation of ChinaNatural Science Foundation of ChinaNatural Science Foundation of ChinaNatural Science Foundation of China

71701170719010417197119172071162

2021

管理科学学报(英文)

管理科学学报(英文)

ISSN：2096-2320
年,卷(期)：2021.6(1)
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