论文标题
全球经济政策不确定性在预测原油期货波动中的作用：来自两因素GARCH-MIDAS模型的证据
The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model
论文作者
论文摘要
本文旨在研究全球经济政策不确定性（GEPU）和不确定性变化是否会对原油期货的波动产生不同的影响。我们在GARCH-MIDAS框架下建立了单因素和两因素模型，以研究GEPU和GEPU变化的预测能力，包括不包括和包括实现的波动性。调查结果表明，具有滚动窗口规范的模型的性能要比具有固定SPAN规范的模型更好。对于单因素模型，GEPU指数及其变化以及实现的波动性是预测原油期货波动率的一致有效因素。特别是，GEPU变化具有比GEPU指数更强的预测能力。对于两因素模型，GEPU并不是WTI原油期货或布伦特原油期货的有效预测因素。具有GEPU变化的两因素模型包含更多的信息，并且比单因素模型具有更强的原油期货市场波动的预测能力。 GEPU的变化确实是原油期货长期波动的主要来源。
This paper aims to examine whether the global economic policy uncertainty (GEPU) and uncertainty changes have different impacts on crude oil futures volatility. We establish single-factor and two-factor models under the GARCH-MIDAS framework to investigate the predictive power of GEPU and GEPU changes excluding and including realized volatility. The findings show that the models with rolling-window specification perform better than those with fixed-span specification. For single-factor models, the GEPU index and its changes, as well as realized volatility, are consistent effective factors in predicting the volatility of crude oil futures. Specially, GEPU changes have stronger predictive power than the GEPU index. For two-factor models, GEPU is not an effective forecast factor for the volatility of WTI crude oil futures or Brent crude oil futures. The two-factor model with GEPU changes contains more information and exhibits stronger forecasting ability for crude oil futures market volatility than the single-factor models. The GEPU changes are indeed the main source of long-term volatility of the crude oil futures.
