Periodic Reporting for period 1 - FOROIL (Objective-based forecast evaluations for crude oil volatility.)
Periodo di rendicontazione: 2017-08-01 al 2019-07-31
Thus, the overarching aim was to lay the foundations for an advanced econometric model framework for the evaluation of the most appropriate oil volatility measures combined with the most accurate forecasting models, using objective-based loss functions. The first research objective was to construct the variations of volatility measures that had been proposed in the econometric theory. The second research objective was to estimate the most appropriate volatility measures combined with the most accurate forecasting models, suitable for oil traders, portfolio managers and risk managers. Finally, the third research objective was to estimate the most appropriate volatility measures combined with the most accurate forecasting models, suitable for policy makers and regulators. In this project we confine our interest to the usefulness of oil price volatility forecasts for investors and policy makers.
We first show that the construction of the different intraday volatility measures do contain different information for the future path of oil price volatility. This is important as the different information could assist in the improvement of oil price volatility forecasts.
Having constructed the different intraday volatility measures, we show that, contrary to the current practice that mainly considers stand-alone statistical loss functions, oil price volatility forecasts should be assessed based on objective-based evaluation criteria, given that different forecasting models may exhibit superior performance at different applications.
Our results convincingly show that our forecasting framework is economically useful, since different models and volatility measures provide; (1) superior after-cost profits depending on the financial use of the volatility forecasts and (2) improved conditional forecasts of macroeconomic variables depending on the indicator of interest.
The conclusions of the project were widely disseminated using various means, as suggested in the project’s proposal. We presented the findings of the project in five staff seminar series in the UK and international academic institutions, as well as, in public talks at the Festival of Learning (Bournemouth University) and Panteion University of Social and Political Sciences. In addition, we presented our results in three short videos at faculti.net website. Furthermore, we presented the findings in five international conferences and two workshops. The Marie Sklodowska-Curie researcher, Stavros Degiannakis, has successfully accomplished the project, delivered the four working packages, and submitted papers in international journals that have been produced during the fellowship. The working papers of the projects were also made available to the wider public via the project’s website. The Community support of the Marie Sklodowska-Curie Action is being acknowledged in publications and presentations.
So far the project has managed to achieve the intended short-run impact. The fellow gained expertise in state-of-the-art oil price forecasting techniques and in the development of objective-based loss functions, as well as, in the energy market’s structure and operations. Furthermore, the fellow gained expertise in outreach activities, consultancy and policy formulation skills, and wider dissemination strategies. The fellow has also strengthened his affiliations with the UK and international academic and non-academic sector, which allowed him to expand his research network and obtain consulting experience. The fellow was also trained in methods for effecting counselling, managing expectations and effective communication of the practical implication of the research output. Furthermore, the fellow has acted as Marie Skłodowska-Curie Ambassador and communicated effectively his Marie Skłodowska-Curie Actions experience and thus raised awareness of the ERA efforts for research excellence.