CORDIS Project
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This project aims to develop an advanced econometric framework for forecasting oil price volatility. It seeks to identify the most effective volatility measures and forecasting models to aid decision-making in various sectors reliant on oil market predictions.
Oil price volatility forecasting is of major importance due to the financialisation of the oil market and the fact that the oil market participants’ decisions are based on such forecasting (e.g. oil-intensive industries, policy makers, portfolio traders, etc).
Currently, forecasters predict oil price volatility using GARCH and HAR models and evaluate the performance of these models using statistical loss-functions, such as the Mean Absolute Predictive Error.
Even more, the literature concentrate…
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