Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models

• DOI: 10.1016/j.eneco.2018.11.015
• Publication Date: 2018-11-22T09:08:55Z
• Authors: Yue-Jun Zhang; Jin-Li Wang
• Keywords: West Texas Intermediate; Stock (firearms); Brent Crude

Abstract Extensive studies have used stock market information to forecast crude oil prices, and stock market can more easily derive high-frequency data than crude oil market due to no revisions, which raises a question that whether high-frequency stock market data can improve the forecast performance of crude oil prices. Therefore, this paper employs the MIDAS model and the high-frequency data of four stock market indices to forecast WTI and Brent crude oil prices at lower frequency. The results indicate that the high-frequency stock market indices have certain advantage over the lower-frequency data in forecasting monthly crude oil prices, and the MIDAS model using high-frequency data proves superior to the ordinary model.