United States Oil Fund volatility prediction: the roles of leverage effect and jumps

Chao Liang, Yin Liao, Feng Ma, Bo Zhu*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

Abstract

We investigate United States Oil Fund volatility predictions using a mixed data sampling modeling framework. There are several vital findings. First, our in-sample analysis shows that both the leverage effect and intraday jumps have a significant impact on the United States Oil Fund realized volatility. Second, our out-of-sample analyses suggest that incorporating the leverage effect can largely improve the United States Oil Fund realized volatility forecasts. Third, using a portfolio exercise, we show that the improved realized volatility forecasts lead to significantly increased economic values. Our results are confirmed by a wide range of robustness checks.
Original languageEnglish
Pages (from-to)2239-2262
Number of pages24
JournalEmpirical Economics
Volume62
Issue number5
Early online date19 Aug 2021
DOIs
Publication statusPublished - May 2022

Keywords

  • Crude oil fund
  • Economic significance
  • Jumps
  • Leverage effect
  • Realized volatility

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