文献类型：期刊文献

英文题名：The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model

作者：Dai, Peng-Fei[1,2];Xiong, Xiong[1,3];Zhang, Jin[4];Zhou, Wei-Xing[2,5,6,7]

机构：[1]Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China;[2]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[3]Tianjin Univ, Lab Computat & Analyt Complex Management Syst CACM, Tianjin 300072, Peoples R China;[4]China Bohai Bank Co LTD, Tianjin 300012, Peoples R China;[5]East China Univ Sci & Technol, Sch Math, Shanghai 200237, Peoples R China;[6]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[7]East China Univ Sci & Technol, Sch Business, POB 114,130 Meilong Rd, Shanghai 200237, Peoples R China

年份：2022

卷号：78

外文期刊名：RESOURCES POLICY

收录：;EI(收录号：20222612293405);WOS:【SSCI(收录号:WOS:000838123500014)】；

基金：This was a project funded by China Postdoctoral Science Foundation (Grant No. 2021M691015) . This work was supported by National Natural Science Foundation of China (Grants Nos. 72141304, U1811462 and 71790594) , Fundamental Research Funds for the Central Universities, China, Tianjin Development Program for Innovation and Entrepreneurship, and Shanghai Outstanding Academic Leaders Plan.

语种：英文

外文关键词：Crude oil futures; Global economic policy uncertainty; Volatility forecasting; GARCH-MIDAS; Two-factor model

摘要：The fluctuations in global policy affect the volatility of international crude oil markets. It is quite meaningful to analyze the impact of policy uncertainty on crude oil market volatility from a global integration perspective in deep. This paper aims to examine whether the global uncertainty of economic policy (GEPU) and the uncertainty of uncertainty (GEPU change) have different impacts on crude oil futures volatility. We establish two types of models under the GARCH-MIDAS framework, single-factor model and two-factor model, for discussing their explanatory and predictive power when considering the historical realized volatility. The findings show the GEPU index and its changes are consistent effective predictive factors in volatility of crude oil futures market when only individual effect is considered. Specially, GEPU change has stronger predictive power than GEPU index. Furthermore, the two-factor model with GEPU change contains more information which holds stronger forecasting ability in crude oil futures market volatility. However, GEPU cannot be an effective forecast factor when taking the influence of realized volatility into account.