This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework.In-sample results indicate that oil futures intraday information is helpful to in...This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework.In-sample results indicate that oil futures intraday information is helpful to increase the predictability.Moreover,compared to the benchmark model,the proposed models improve their predictive ability with the help of oil futures realized volatility.In particular,the multivariate HAR model outperforms the univariate model.Accordingly,considering the contemporaneous connection is useful to predict the US stock market volatility.Furthermore,these findings are consistent across a variety of robust checks.展开更多
基金supported by the Natural Science Foundation of China[71701170,71901041,71971191,72071162]
文摘This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework.In-sample results indicate that oil futures intraday information is helpful to increase the predictability.Moreover,compared to the benchmark model,the proposed models improve their predictive ability with the help of oil futures realized volatility.In particular,the multivariate HAR model outperforms the univariate model.Accordingly,considering the contemporaneous connection is useful to predict the US stock market volatility.Furthermore,these findings are consistent across a variety of robust checks.
