Oil futures volatility predictability: Evidence based on Twitter-based uncertainty

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This paper explores the influence of the Twitter-based uncertainty index on oil futures market volatility. The Twitter-based Market Uncertainty (TMU) index, based on the novel Markov-regime GARCH-MIDAS model, may significantly improve prediction accuracy for oil futures volatility. Moreover, the TMU was still useful in predicting oil volatility during the COVID-19 pandemic. Furthermore, when the alternative Twitter-based uncertainty index, Twitter-based Economic Uncertainty (TEU), is adopted, these results are also robust. This paper highlights the importance of the Twitter-based uncertainty index for oil futures market.