El Niño and forecastability of oil-price realized volatility
نویسندگان
چکیده
Abstract We forecast monthly realized volatility (RV) of the oil price based on an extended heterogenous autoregressive (HAR)-RV model that incorporates role El Niño Southern Oscillation (ENSO), as captured by Equatorial Index (EQSOI). Based period covering 1986 January to 2020 December and studying various rolling-estimation windows horizons, we find EQSOI has predictive value for oil-price RV particularly at horizons from 2 4 years, length 6 years. show this result holds not only standard tests out-of-sample predictability, but also under asymmetric loss function.
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ژورنال
عنوان ژورنال: Theoretical and Applied Climatology
سال: 2021
ISSN: ['1434-4483', '0177-798X']
DOI: https://doi.org/10.1007/s00704-021-03569-1