Quantile Dependence between Crude Oil Returns and Implied Volatility: Evidence from Parametric and Nonparametric Tests

We examine the daily dependence and directional predictability between returns of crude oil Crude Oil Volatility Index (OVX). Unlike previous studies, we apply a battery quantile-based techniques, namely quantile unit root test, causality-in-quantiles cross-quantilogram approach. Our main results show evidence significant bi-directional that is quantile-dependent asymmetric. A positive Granger causality runs from (OVX) to OVX (oil) when both series are in similar lower (upper) quantiles, as well opposite quantiles. The only during periods high volatility, although it not always positive. findings imply forward-looking estimate reflecting sentiment market participants, should be considered studying price variations market, can used predict implied volatility bearish conditions. Therefore, have implications regarding under various conditions for participants.