연구정보
[경제] Impact of crude oil volatility jumps on sustainable investments: Evidence from India
인도 국외연구자료 연구보고서 - Wiley Online Library 발간일 : 2023-06-22 등록일 : 2023-09-17 원문링크
This study examines the impact of crude oil volatility jumps on the realized volatility (RV) of green and dirty stocks in India. In doing so, we first estimate the time-varying jumps in oil market implied volatility index (OVX) and then augment the heterogeneous autoregressive (HAR) process with the information on such jumps. Our sample runs from December 2012 to April 2022, which includes 2328 data points. Comparing a range of HAR-type models, we find that crude oil volatility jumps provide additional information, which is not contained even in the OVX index itself. In particular, the HAR–RV model that considers both leverage effects and the information on volatility jumps produces superior forecasts compared with the existing approaches. The economic significance of these results is also supported by a simple value-at-risk analysis.
본 페이지에 등재된 자료는 운영기관(KIEP) 및 EMERiCs의 공식적인 입장을 대변하고 있지 않습니다.
| 이전글 | [경제] Asian Development Bank and Bhutan: Fact Sheet | 2023-04-28 |
|---|---|---|
| 다음글 | [환경] India: Green Energy Corridor and Grid Strengthening Project | 2023-12-10 |
