This paper explores the predictive ability of volatility in the crude oil market. A comparison in the CBOE crude oil volatility index (OVX), GARCH and Stochastic Volatility Models are employed to investigate the forecasting performance. The daily price dataset, spanning from 2010 to 2022,...

The paper examines the volatility predictive ability of the CBOE crude oil volatility index (OVX), GARCH and Stochastic Volatility Models in the crude oil market. Specifically, the dynamics of two major crude oil pricing benchmarks - Brent in Europe and WTI in America are compared. OVX index is...