price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the … jump component is persistent when forecasting the oil futures market volatility. Specifically, we propose a strategy that … according to their recent past forecasting performance. The volatility data are based on the intraday prices of West Texas …

In this paper, we examine the volatility of crude oil price using daily data for the period 1991-2006. Our main … innovation is that we examine volatility in various sub-samples in order to judge the robustness of our results. Our main … effects, on volatility. These findings imply that the behaviour of oil prices tends to change over short periods of time …