Geopolitical risk of oil export and import countries and oil futures volatility: Evidence from dynamic model average methods

Abstract

This paper mainly checks the predictability of geopolitical risk (GPR) from export and import oil countries for oil futures volatility using dynamic model average and dynamic model selection methods. Empirical results show that information of GPR indices of both export and import oil countries can predict oi futures volatility. Applying DMA and DMS models can further improve the forecasting accuracy of oil futures volatility. This paper tries to provide new evidence for oil futures from the perspectives of oil export and import countries.