Arbeitspapier
Bayesian predictive distributions of oil returns using mixed data sampling volatility models
This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models such as Generalized Autoregressive Conditional Heteroskedastic (GARCH), Generalized Autoregressive Score (GAS), and Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of relevant financial/macroeconomic news into asset price movements. For inference and prediction, we employ an innovative Bayesian estimation approach called the density-tempered sequential Monte Carlo method. Our findings indicate that the inclusion of exogenous variables is beneficial for GARCH-type models while offering only a marginal improvement for GAS and SV-type models. Notably, GAS-family models exhibit superior performance in terms of in-sample fit, out-of-sample forecast accuracy, as well as Value-at-Risk and Expected Shortfall prediction.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 7/2023
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Evaluation, Validation, and Selection
Financial Econometrics
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Subject
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GARCH
GAS
log marginal likelihood
MIDAS
VaR
- Event
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Geistige Schöpfung
- (who)
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Virbickaite, Audrone
Nguyen, Hoang
Tran, Minh-Ngoc
- Event
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Veröffentlichung
- (who)
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Örebro University School of Business
- (where)
-
Örebro
- (when)
-
2023
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Virbickaite, Audrone
- Nguyen, Hoang
- Tran, Minh-Ngoc
- Örebro University School of Business
Time of origin
- 2023
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