The volatility of natural resources implications for sustainable development: Crude oil volatility prediction based on the multivariate structural regime switching

• Published in: Resources policy Vol. 83; p. 103612
• Main Authors: Tang, Yusui, Ma, Feng
• Format: Journal Article
• Language: English
• Published: Elsevier Ltd 01.06.2023
• Subjects: Common information; Crude oil futures market; Markov regime switching; The U.S. stock market; Volatility forecasting; Common information; Crude oil futures market; Volatility forecasting; Markov regime switching; The U.S. stock market

Applying the multivariate heterogeneous autoregressive (MHAR-RV-DCC) model, this article considers the structural mutation characteristics of oil futures and the U.S. stock markets’ information fluctuations, and embeds Markov regime switching (MS) to investigate the prediction performance of the cru...