Forecasting crude oil volatility with uncertainty indicators: New evidence

Energy stability and decarbonization in developing countries: Random Forest approach for forecasting of crude oil trade flows and macro indicators

“…This is to improve the climate conditions that can benefit current and future generations. These nations aim to save the environment by starting to act early on managing carbon emissions through the application of the deep decarbonization process (Li R. et al, 2021a;Li X. et al, 2022;Plakandaras and Ji, 2022).…”

Return and Volatility Spillovers of Asian Pacific Stock Markets’ Energy Indices

“…China's commodities were the primary exporters of risk contagion even during early stages of the outbreak. The geopolitical risk index appears to be better in predicting long-term crude oil fluctuation than some other ambiguity indicators, and it also improves performance than other uncertainty indicators in predicting, The U.S. petroleum market equities liquidity tracker has the finest predictive ability, to predict the fluctuation of the price of oil, during non-crisis, and economic growth periods (Li et al, 2022). discovered that clean energy -realised volatility could be accurately predicted by both uncertainty indicators and global economic situations.…”

Challenges for volatility forecasts of US fossil energy spot markets during the COVID-19 crisis

“…In addition, motivated by Baker et al (2016) , Baumeister et al (2022) , Caldara and Iacoviello (2022) , and Baumeister and Hamilton (2019) , we mainly employ four indicators to capture changes in various aspects of global conditions, namely, the global economic policy uncertainty index, global economic conditions index, geopolitical risk index, and world industrial production index. A great number of works have put forward strong evidence of the significant relationship between energy markets and exogenous indicators, including uncertainty indices ( Hong et al, 2022b ; Li, Liang, et al, 2022 ; Liang et al 2020 , 2021 ), climate-related indicators ( Considine, 2000 ; Hong et al, 2022c ; Liang, Umar, et al, 2022 ) and macroeconomic fundamentals ( Doroodian & Boyd, 2003 ; Taghizadeh-Hesary et al, 2016 ; Lacheheb & Sirag, 2019 ). One of these branches of research has focused on crude oil and natural gas markets, while little attention has been given to gasoline and heating oil markets ( Olanipekun et al, 2019 ; Olubusoye et al, 2021 ; Al-Thaqeb et al, 2022 ).…”

“…First, we focus on indicators of global conditions that describe four different categories and study which type of indicator is most informative for forecasting fossil energy price volatility. For a long time, to study the impact of exogenous fundamentals on energy price fluctuations in financial markets, scholars have explored exogenous factors based on text, models, and prices through various methods and models ( Gong & Lin, 2017 ; Li, Liang, et al, 2022 ; Wang, Wu, et al, 2022 ; Zhang, He, et al, 2022 ). On the one hand, due to a variety of uncertainties in the world, we consider global economic policy uncertainty (GEPU), which has been shown to reflect uncertainty stemming from economic and policy-related events ( Adams et al, 2020 ; Baker et al, 2016 ; Liang et al, 2020 ).…”