Can spillover effects provide forecasting gains? The case of oil price volatility

We consider spillovers between oil price volatility and key uncertainty indicators. Adding to existing studies, we extend the applicability of the spillover index beyond economic inference, by generating forecasts of oil price volatility. Findings suggest that spillover effects do not contain significant predictive information. This in turn, raises critical questions regarding the usefulness of the spillover index for such task. However, it is critical to collect further evidence for the support of our findings.