Forecasting value-at-risk in oil prices in the presence of volatility shifts

Bradley T. Ewing, Farooq Malik, Hassan Anjum

Research output: Contribution to journalArticlepeer-review

11 Scopus citations


Recent evidence suggests shifts (structural breaks) in the volatility of returns causes non-normality by significantly increasing kurtosis. In this paper, we endogenously detect significant shifts in the volatility of oil prices and incorporate this information to estimate Value-at-Risk (VaR) to accurately forecast large declines in oil prices. Our out-of-sample performance results indicate that the model, which incorporates both time varying volatility (without making any distributional assumptions) and shifts in volatility, produces more accurate VaR forecasts than several benchmark methods. We make a timely contribution as the recent more frequent occurrences of unexpected large oil price declines has gained significant attention because of its substantial impact on the financial markets and the global economy.

Original languageEnglish (US)
Pages (from-to)341-350
Number of pages10
JournalReview of Financial Economics
Issue number3
StatePublished - Jul 1 2019
Externally publishedYes


  • oil volatility
  • structural breaks

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


Dive into the research topics of 'Forecasting value-at-risk in oil prices in the presence of volatility shifts'. Together they form a unique fingerprint.

Cite this