Forecasting oil price volatility using spillover effects from uncertainty indices

• We consider spillovers between oil price volatility, OVX , and key uncertainty indicators. use monthly data for the VIX US EPU global geopolitical risk partisan conflict indices. employ Diebold Yilmaz framework to extract net pairwise indicators . All different types of are linked but only from contain significant in-sample predictive information. Spillovers do not generate real out-of-sample forecasting gains at low sampling frequency. volatility we extend applicability spillover index beyond economic inference, by generating forecasts volatility. The paper shows that information, raising critical questions regarding usefulness exercises