Infectious Diseases, Market Uncertainty and Oil Market Volatility

• Published in: Energies (Basel) Vol. 13; no. 16; p. 4090
• Main Authors: Bouri, Elie, Demirer, Riza, Gupta, Rangan, Pierdzioch, Christian
• Format: Journal Article
• Language: English
• Published: Basel MDPI AG 01.08.2020
• Subjects: Autoregressive models; Coronaviruses; COVID-19; Crude oil; crude oil realized volatility; forecasting; Infectious diseases; Oil; Pandemics; Risk management; Stock exchanges; Uncertainty; Volatility; United States > US

We examine the predictive power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for oil-market volatility. Using the heterogeneous autoregressive realized volatility (HAR-RV) model, we document a positive effect of the EMVID index on the realized volatilit...