Impact of crude oil volatility jumps on sustainable investments: Evidence from India

This study examines the impact of crude oil volatility jumps on realized (RV) green and dirty stocks in India. In doing so, we first estimate time-varying market implied index (OVX) then augment heterogeneous autoregressive (HAR) process with information such jumps. Our sample runs from December 2012 to April 2022, which includes 2328 data points. Comparing a range HAR-type models, find that provide additional information, is not contained even OVX itself. particular, HAR–RV model considers both leverage effects produces superior forecasts compared existing approaches. The economic significance these results also supported by simple value-at-risk analysis.