INE Oil Futures Volatility Prediction: Exchange Rates or International Oil Futures Volatility?

This study examines the predictive performances of volatility information from international oil futures volatility and exchange rates for Shanghai International Energy Exchange (INE) oil futures volatility. Various empirical findings show that the predictive performance of international oil futures volatility is superior to that of the exchange rate. In addition, we examine whether regime switching is efficient, and the results show that time-varying regime switching plays a satisfactory role. Moreover, these results are robust even during some special periods, including the COVID-19 pandemic, the Russia–Ukraine conflict, and different business cycles. This study provides new insights into the volatility prediction of the INE oil futures market.