可预测性
经济
计量经济学
西德克萨斯州中级
波动性(金融)
分位数
文件夹
预测能力
金融经济学
布伦特原油
隐含波动率
已实现方差
统计
数学
认识论
哲学
标识
DOI:10.1016/j.resourpol.2022.103277
摘要
This paper employs the Cross-Quantilogram methodology proposed by Han et al. (2016) to investigate whether the implied volatility of crude oil (OVX) ameliorates the directional predictability of the oil price returns. Our main result documents the existence of a quantile predictability from OVX to WTI returns when the crude oil implied volatility is in the upper conditional quantile. On the other hand, no sufficient evidence in directional predictability is found when the OVX is at the lower to intermediate level. As a part of robustness check, the same analysis was conducted to the Brent returns. The pattern of directional predictability (similar signs) broadly corresponds with those observed on the WTI returns, however, it seems that OVX is more predictive for Brent than WTI. Particularly, the predictive power of OVX is found to be significant during periods of moderate to high OVX and mainly concentrated on lower to intermediate variations in Brent returns. As a result, implied volatility can be considered as a driver with respect to the forthcoming variations of the returns in the spot oil market. Insights gleaned from this study could have important implications for investors and policymakers in terms of portfolio and risk management decisions.
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