Challenges for the Volatility Forecasts of the US Fossil Energy Spot Markets Under the COVID-19 Crisis
The outbreak of the Covid-19 pandemic has led to a slowdown in the world’s energy trade and changes in the use of energy resources. Meanwhile, global conditions are confused and can affect fossil energy spot markets, including crude oil, gasoline, heating oil, and natural gas. In this paper, for the purpose of exploring the impact of global conditions on fossil energy spot markets during the Covid-19 crisis, we conduct comparative research from a forecasting perspective. We employ a sample of the 2010-2022 range and cut off the sample to investigate the differences before and after Covid-19. Based on the GARCH-MDIAS framework, in-sample estimation shows that all global indicators are significant for forecasting the volatilities of these fossil energy spot prices. Out-sample forecasts reveal that the predictive powers of these global indicators are different. In particular, we can conclude that these global indicators may provide different forecasting information during the pre- and post-Covid-19 periods. Hence, this paper seems to be helpful for decision-makers to formulate and adjust pertinent policies and investments in the case of extreme emergencies in the future
Year of publication: |
2023
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Authors: | Li, Zepei ; Huang, Haizhen |
Publisher: |
[S.l.] : SSRN |
Subject: | Volatilität | Volatility | Coronavirus | Fossile Energie | Fossil fuel | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Prognose | Forecast | Energieprognose | Energy forecast | Welt | World |
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