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Does oil price uncertainty matter in stock market volatility forecasting?
We analyze whether oil price uncertainty and U.S. stock uncertainty can simultaneously provide additional information to volatility forecast of six major stock indexes. For model settings, we find not only the uncertainty information of previous day, but that of previous week and month will also pro...
Autores principales: | , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Public Library of Science
2022
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9797064/ https://www.ncbi.nlm.nih.gov/pubmed/36576907 http://dx.doi.org/10.1371/journal.pone.0277319 |
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author | Qin, Peng Bai, Manying |
author_facet | Qin, Peng Bai, Manying |
author_sort | Qin, Peng |
collection | PubMed |
description | We analyze whether oil price uncertainty and U.S. stock uncertainty can simultaneously provide additional information to volatility forecast of six major stock indexes. For model settings, we find not only the uncertainty information of previous day, but that of previous week and month will also provide incremental predictive power for the stock market volatility. Based on that, from in-sample and out-of-sample perspective, the empirical evidences imply separately incorporating oil price uncertainty into the model can significantly improve the stock market volatility forecasting performance, but the improvements vanish after controlling the effects of volatility spillover from U.S. stock market while the effect of U.S. stock uncertainty is nonnegligible and sustainable for stock volatility forecasting. We confirm this finding from average and dynamic perspective. We further proceed the process in longer-horizon volatility forecasting, the evidences cannot overturn our conclusion. This conclusion implies that we should be cautious about the stock volatility predictability based on the oil price uncertainty, which further provide some important implications for researchers, regulators and investors. |
format | Online Article Text |
id | pubmed-9797064 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2022 |
publisher | Public Library of Science |
record_format | MEDLINE/PubMed |
spelling | pubmed-97970642022-12-29 Does oil price uncertainty matter in stock market volatility forecasting? Qin, Peng Bai, Manying PLoS One Research Article We analyze whether oil price uncertainty and U.S. stock uncertainty can simultaneously provide additional information to volatility forecast of six major stock indexes. For model settings, we find not only the uncertainty information of previous day, but that of previous week and month will also provide incremental predictive power for the stock market volatility. Based on that, from in-sample and out-of-sample perspective, the empirical evidences imply separately incorporating oil price uncertainty into the model can significantly improve the stock market volatility forecasting performance, but the improvements vanish after controlling the effects of volatility spillover from U.S. stock market while the effect of U.S. stock uncertainty is nonnegligible and sustainable for stock volatility forecasting. We confirm this finding from average and dynamic perspective. We further proceed the process in longer-horizon volatility forecasting, the evidences cannot overturn our conclusion. This conclusion implies that we should be cautious about the stock volatility predictability based on the oil price uncertainty, which further provide some important implications for researchers, regulators and investors. Public Library of Science 2022-12-28 /pmc/articles/PMC9797064/ /pubmed/36576907 http://dx.doi.org/10.1371/journal.pone.0277319 Text en © 2022 Qin, Bai https://creativecommons.org/licenses/by/4.0/This is an open access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/) , which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. |
spellingShingle | Research Article Qin, Peng Bai, Manying Does oil price uncertainty matter in stock market volatility forecasting? |
title | Does oil price uncertainty matter in stock market volatility forecasting? |
title_full | Does oil price uncertainty matter in stock market volatility forecasting? |
title_fullStr | Does oil price uncertainty matter in stock market volatility forecasting? |
title_full_unstemmed | Does oil price uncertainty matter in stock market volatility forecasting? |
title_short | Does oil price uncertainty matter in stock market volatility forecasting? |
title_sort | does oil price uncertainty matter in stock market volatility forecasting? |
topic | Research Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9797064/ https://www.ncbi.nlm.nih.gov/pubmed/36576907 http://dx.doi.org/10.1371/journal.pone.0277319 |
work_keys_str_mv | AT qinpeng doesoilpriceuncertaintymatterinstockmarketvolatilityforecasting AT baimanying doesoilpriceuncertaintymatterinstockmarketvolatilityforecasting |