2. Forecasting the nominal price of oil 3. Forecasting the real price of oil 4. Joint forecasts of oil prices and US real GDP growth 5. Forecasting oil price volatility and quantifying oil price risks 6. Conclusions: How to forecast the price of oil? Forecasting oil price realized volatility: A new approach Downloadable! This paper adds to the extremely limited strand of the literature focusing on the oil price realized volatility forecasting. More specifically, we evaluate the information content of four different asset classes’ volatilities when forecasting the oil price realized volatility for 1-day until 66-day ahead. To do so, we concentrate on the Brent crude oil and fourteen other assets Modeling and Forecasting Crude Oil Price Volatility ...
This study provides a new perspective of modelling and forecasting realized range-based volatility (RRV) for crude oil futures. We are the first to improve the Heterogeneous Autoregressive model
Forecasting oil price volatility. Oil traders, portfolio managers and policymakers will all benefit from a new framework for oil price forecasting which focuses on the user. Forecasting oil prices is an intricate, complex and notoriously difficult task. With so many interlinked factors involved, the slightest changes can render a forecast Forecasting Oil Price Volatility - Virginia Tech This study compares different methods of forecasting price volatility in the crude oil futures market using daily data for the period November 1986 through March 1997. It compares the forward-looking implied volatility measure with two backward-looking time-series measures based on past returns - a simple historical volatility estimator and a FRB: Forecasting the Price of Oil - Federal Reserve System It may seem that fluctuations in oil price volatility, defined in this manner, would be a good indicator of changes in oil price risks. It is important not to equate risk and uncertainty, however. Whereas the latter may be captured by the volatility of oil price forecasts, the former cannot.
FRB: Forecasting the Price of Oil - Federal Reserve System
Downloadable (with restrictions)! We use high-frequency intra-day realized volatility data to evaluate the relative forecasting performances of various models that 30 Jan 2016 This paper adds to the extremely limited strand of the literature focusing on the oil price realized volatility forecasting. More specifically, we Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data. 2nd International Conference and Expo on Oil and Gas October Joint forecasts of oil prices and US real GDP growth. 5. Forecasting oil price volatility and quantifying oil price risks. 6. Conclusions: How to forecast the price of Four factors affect prices: U.S. shale production, OPEC, the U.S. dollar, and demand. Oil prices will rise above $100/b by 2050. Four Reasons for Today's Volatile
Forecasting oil price volatility: Forecast combination versus
Economic Bulletin Article: Forecasting the price of oil
Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data. 2nd International Conference and Expo on Oil and Gas October
Modeling and forecasting oil price risk: the role of ...