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首页> 外文期刊>International review of economics & finance >Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?
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Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?

机译：原油市场波动性预测：制度转换GARCH模型能否击败单制度GARCH模型？

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摘要

GARCH-type models are frequently used to forecast crude oil price volatility, and whether we should consider multiple regimes for the GARCH-type models is of great significance for the forecasting work but does not have a final conclusion yet. To that end, this paper estimates and forecasts crude oil price volatility using three single-regime GARCH (i.e., GARCH, GJR-GARCH and EGARCH) and two regime-switching GARCH (i.e., MMGARCH and MRS-GARCH) models. Furthermore, the Model Confidence Set (MCS) procedure is employed to evaluate the forecasting performance. The in-sample results show that the MRS-GARCH model provides higher estimation accuracy in weekly data. However, the out-of-sample results show the limited significance of considering the regime switching. Overall, our results indicate that the incorporation of regime switching does not perform significantly better than the single-regime GARCH models. The findings are proved to be robust to both daily and weekly data for WTI and Brent over different time horizons.
机译：GARCH类型的模型经常用于预测原油价格的波动，对于GARCH类型的模型，我们是否应考虑多种制度对预测工作具有重要意义，但尚无最终结论。为此，本文使用三个单一制度的GARCH模型（即GARCH，GJR-GARCH和EGARCH）和两个制度转换的GARCH模型（即MMGARCH和MRS-GARCH）来估计和预测原油价格的波动性。此外，采用模型置信度集（MCS）程序来评估预测性能。样本中的结果表明，MRS-GARCH模型在每周数据中提供了更高的估计准确性。但是，样本外结果表明考虑方案切换的意义有限。总体而言，我们的结果表明，体制转换的合并执行起来并不比单体制GARCH模型好得多。事实证明，该发现对于不同时间段的WTI和Brent每日和每周数据均具有鲁棒性。

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