کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5100266 | 1478825 | 2017 | 35 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We introduce a regime switching GARCH-MIDAS model to investigate the relationships between oil price volatility and its macroeconomic fundamentals. Our model takes into account both effects of long-term macroeconomic factors and short-term structural breaks on oil volatility. The in-sample and out-of-sample results show that macroeconomic fundamentals can provide useful information regarding future oil volatility beyond the historical volatility. We also find the evidence that the structural breaks cause higher degree of GARCH-implied volatility persistence. Two-regime GARCH-MIDAS models can significantly beat their single-regime counterparts in forecasting oil volatility out-of-sample.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 43, September 2017, Pages 130-142
Journal: Journal of Empirical Finance - Volume 43, September 2017, Pages 130-142
نویسندگان
Zhiyuan Pan, Yudong Wang, Chongfeng Wu, Libo Yin,