We forecast monthly realized volatility (RV) of the oil price based on an extended heterogenous autoregressive (HAR)-RV model that incorporates the role of the El Niño Southern Oscillation (ENSO), as captured by the Equatorial Southern Oscillation Index (EQSOI). Based on the period covering 1986 January to 2020 December and studying various rolling-estimation windows and forecast horizons, we find that the EQSOI has predictive value for oil-price RV particularly at forecast horizons from 2 to 4 years, and for rolling-estimation windows of length 4 to 6 years. We show that this result holds not only based on standard tests of out-of-sample predictability, but also under an asymmetric loss function.

我们根据扩展的异质自回归（HAR）-RV模型预测了油价的每月实际波动性（RV），该模型结合了厄尔尼诺南方涛动（ENSO）的作用，如赤道南方涛动指数（EQSOI）所述。基于1986年1月至2020年12月的时间段，并研究了各种滚动估计窗口和预测范围，我们发现EQSOI对油价RV具有预测价值，尤其是在2年至4年的预测范围内以及滚动估计窗口长度为4到6年。我们表明，这个结果不仅基于样本外可预测性的标准测试而成立，而且还基于不对称损失函数。