Can spillover effects provide forecasting gains? The case of oil price volatility

Chatziantoniou, Ioannis and Degiannakis, Stavros and Delis, Panagiotis and Filis, George (2019): Can spillover effects provide forecasting gains? The case of oil price volatility.

Abstract

We consider spillovers between oil price volatility and key uncertainty indicators. Adding to existing studies, we extend the applicability of the spillover index beyond economic inference, by generating forecasts of oil price volatility. Findings suggest that spillover effects do not contain significant predictive information. This in turn, raises critical questions regarding the usefulness of the spillover index for such task. However, it is critical to collect further evidence for the support of our findings.

• Item Type: MPRA Paper
• Language: English
• Keywords: Uncertainty, oil price volatility, forecasting, spillover effects
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4 - Energy > Q47 - Energy Forecasting

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