Crude Oil Volatility Index Forecasting : The Asymmetric Effects from Chinese Stock Market Jumps

This article mainly studies the crude oil volatility index (OVX) forecasting from the perspective of the cross-market asymmetric effects of Chinese stock market jumps. The positive and negative jumps are used to represent the asymmetric shocks which are calculated based on the high-frequency data of stock returns. The principal component analysis (PCA) and momentum of predictability (MoP) strategy are employed to synthesize the asymmetric jumps information based on six non-parametric jump detection methods. Our empirical results find that it is important to consider both the positive and negative jumps of Chinese stock market to improve the forecasting ability of OVX, especially under MoP strategy. The out-of-sample MCS test, the evaluation of economic significance and robustness test further verify these results