Template-Type: ReDIF-Article 1.0
Author-Name:  Fredj Jawadi, Waël Louhichi, Hachmi Ben Ameur, and Zied Ftiti
Title:  Do Jumps and Co-jumps Improve Volatility Forecasting of Oil and Currency Markets?
Classification-JEL: F0
Volume:  Volume 40
Issue:  Special Issue
Year:  2019
Abstract:  This paper aims at modeling and forecasting volatility in both oil and USD exchange rate markets using high frequency data. We test whether extreme co-movements (co-jumps) between these markets, as well as intraday unexpected news, help to improve volatility forecasting or not. Accordingly, we propose different extensions of Corsi (2009)'s model by including co-jumps and news. Our analysis provides two interesting findings. First, we find that both markets exhibit significant co-jumps driven by unexpected macroeconomic news. Second, we show that our model outperforms Corsi (2009)'s model and provides more accurate forecasts. In particular, while co-jumps constitute a key variable in forecasting oil price volatility, the unexpected news is relevant to forecasts of USD exchange rate volatility. 
Handle: RePEc:aen:journl:ej40-si2-Louhichi
File-URL: http://www.iaee.org/en/publications/ejarticle.aspx?id=3232
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