Abstract: This study forecasts the oil volatility index (OVX) incorporating information from other implied volatility (IV) indices. We provide evidence for the existence of long memory in the OVX in order to justify the use of the Heterogeneous AutoRegressive (HAR) model. We extend the HAR model by implementing a dynamic model averaging (DMA) method in order to allow for IV indices from other asset classes to be applicable at different time periods. Apart from the statistical evaluation, a straddle options trading strategy validates our results from an economic point of view. The IV of Dow Jones is highly significant for short- and mid-run forecasting horizons, whereas, at longer horizons, the IV of Energy Sector provides accurate forecasts but only from an economic point of view.

中文翻译：

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预测石油隐含波动率指数时应考虑什么？

摘要：本研究结合其他隐含波动率 (IV) 指数的信息来预测石油波动率指数 (OVX)。我们提供了 OVX 中存在长记忆的证据，以证明异构自回归 (HAR) 模型的使用是合理的。我们通过实施动态模型平均（DMA）方法来扩展 HAR 模型，以便允许其他资产类别的 IV 指数适用于不同时间段。除了统计评估之外，跨式期权交易策略还从经济角度验证了我们的结果。道琼斯的 IV 对于短期和中期的预测范围非常重要，而在较长的范围内，能源部门的 IV 只能从经济角度提供准确的预测。