Macroeconomic Uncertainty and Crude Oil Futures Volatility–Evidence from China Crude Oil Futures Market

This paper investigates whether the macroeconomic uncertainty factors can explain and forecast China’s INE crude oil futures market volatility. We use GARCH-MIDAS model to investigate explaining predicting power of uncertainties. considered various geopolitical risk (GPR) indices, economic policy (EPU) infectious disease pandemic (IDEMV) indices in our model. The empirical results suggest that risk, act global uncertainty, from United Kingdom, Japan comprehensively integrate information contained rest factors, have superior predictive powers for future These findings highlight importance impact has on market, indicate uncertainties need be when forecasting