Forecasting of clean energy market volatility: The role of oil and the technology sector

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F24%3A00139608" target="_blank" >RIV/00216224:14560/24:00139608 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S0140988324001592" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0140988324001592</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.eneco.2024.107451" target="_blank" >10.1016/j.eneco.2024.107451</a>

Result language
angličtina
Original language name
Forecasting of clean energy market volatility: The role of oil and the technology sector
Original language description
This study is the first to explore whether the well-known relationship between the clean energy sector, oil prices, and technology stocks can be leveraged to enhance the accuracy of realized volatility forecasts for individual clean energy sub-sectors. Based on intraday data and various decompositions of daily realized volatility, we account for the heterogeneity across clean energy sub-sectors using the dynamic common correlated effect heterogeneous autoregressive (DCCE-HAR) model. Our findings reveal that, in the short term, price variations in technology shares are more informative for future clean energy volatility than fluctuations in oil prices. In an out-of-sample analysis, we individually forecast the volatility of each clean energy sub-index using Lasso, Ridge, and random forest approaches. We identify sub-indices that systematically benefit from technology sector price variation (e.g. Smart Grid, Operators, Energy Management), sub-indices that benefit from oil price variation (e.g. Bio Fuel, Wind and Geothermal), while also sub-indices that show limited sensitivity to price variation in the technology and oil markets.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance

Project
<a href="/en/project/GA22-27075S" target="_blank" >GA22-27075S: Forecasting Market Risk: The Role of Trading Activity, Attention and Sentiment</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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