A0203
Title: Intraday crude oil volatility: Assessing the impact of economic announcements and mixed-frequency data
Authors: Audrone Virbickaite - CUNEF Universidad, S.L. (Spain) [presenting]
Igor Ferreira Batista Martins - Orebro University (Sweden)
Hoang Nguyen - Linkoping University (Sweden)
Hedibert Lopes - Insper (Brazil)
Abstract: The real-time impact of economic announcements and policy decisions is investigated on intraday crude oil volatility. The model employs a high-frequency mixed data sampling (MIDAS) approach to capture the interaction between market volatility and economic uncertainty, paired with spike-and-slab priors for the announcement coefficients to perform efficient variable selection in a high-dimensional setting. Findings demonstrate that these announcements significantly influence short-term oil price volatility; Meanwhile, the evolution of the level of the volatility depends on some economic indicators, sampled at lower frequencies. The proposed model improves the accuracy of short-term volatility forecasts, offering valuable insights for market participants and policymakers. The empirical results highlight the importance of timely economic information in forecasting oil market dynamics.
