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Article

Practical Applications of Can Commodity Price Uncertainty Indexes Be Improved by Capturing Media Information? The Case of Oil Price Uncertainty

Yosef Bonaparte, Frank J. Fabozzi and David Koslowsky
The Journal of Alternative Investments 22 (Supplement3) 1-6; DOI: https://doi.org/10.3905/jai.22.s3.022
Yosef Bonaparte
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Frank J. Fabozzi
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David Koslowsky
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Practical Applications

In Can Commodity Price Uncertainty Indexes Be Improved by Capturing Media Information? The Case of Oil Price Uncertainty from the Spring 2020 issue of The Journal of Alternative Investments, authors Yosef Bonaparte (of the J.P. Morgan Center for Commodities at the University of Colorado-Denver), Frank J. Fabozzi (of the EDHEC Business School in Nice, France), and David Koslowsky (of the University of Wisconsin-Superior) present a new and improved method of predicting how much oil prices will fluctuate in the future. Traditional oil price volatility indexes, such as the OVX index, only use historical pricing data on oil options and reflect the market’s expectation about future price volatility. The authors find that the OVX by itself tends to underpredict actual oil price volatility, and note that the changes in oil price volatility have correlated with changes in the frequency of news media reports on oil price uncertainty. They therefore create a new index, the OPUX, that includes data on the frequency of news media reports and social media posts on oil price uncertainty. They find that OPUX predicts actual oil price volatility more accurately than OVX, and they recommend using indexes that incorporate the frequency of news media reports for purposes of predicting future price volatilities.

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The Journal of Alternative Investments: 22 (Supplement3)
The Journal of Alternative Investments
Vol. 22, Issue Supplement3
31 Mar 2020
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Practical Applications of Can Commodity Price Uncertainty Indexes Be Improved by Capturing Media Information? The Case of Oil Price Uncertainty
Yosef Bonaparte, Frank J. Fabozzi, David Koslowsky
The Journal of Alternative Investments Mar 2020, 22 (Supplement3) 1-6; DOI: 10.3905/jai.22.s3.022

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Practical Applications of Can Commodity Price Uncertainty Indexes Be Improved by Capturing Media Information? The Case of Oil Price Uncertainty
Yosef Bonaparte, Frank J. Fabozzi, David Koslowsky
The Journal of Alternative Investments Mar 2020, 22 (Supplement3) 1-6; DOI: 10.3905/jai.22.s3.022
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