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PrefaceThe volatility has been one of the core


PrefaceForecastingthe Volatility of Stock Market and Oil Futures MarketVIon the changing directions of GEPU and Chinese economicolicycertaintyEPU We make several noteworthyfindings First the insample

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1 Preface PrefaceThe volatility has been
Preface PrefaceThe volatility has been one of the core Forecastingthe Volatility of Stock Market and Oil Futures Market VIon the changing directions of GEPU and Chinese economicolicycertainty(EPU). We make several noteworthyfindings. First, the insample estimated results show that up and down GEPU can lead to substantially high stock maket volatility for China. Second, the outsample estimated results support the contention that the GEPU index is helpfulfor predicting volatility. Moreover, compared to GEPU alone, directionaGEPU can provide more useful informtion that can increase the forecast accuracy. Third, we empirically find that drectional GEPU more effective in predicting Chinese stock market volatility when GEPU and EPU rise in the same month.The third part is forecasting oil futures price volatility:evidencefrom realized rangebased

2 volatility. Inthis article, we investiga
volatility. Inthis article, we investigatetheimpactsof jump intensity on futures volatilityin the oil futures market using the heterogneous autoregressive model of realized rangebased volatility (HARRRV) and its extended model. We present several interesting and notable findings.First, shortterm investorhave larger influences on oil futures price volatility. Iditionnegative returns are significant, but the effects of jumps and their intesity (probability) seem not to be significant during the insample period. Second, the outsample results statisticallysupport that our proposed models are able to garner higher forecast accuracy than the benchmark both the statisticalandeconomicsenses, especially ncluding significant jumps and jump intensity tgether. Third, our findings are strongly robustin various checkssuch as diffeentforecasting window, samplin

3 g frequencies and volatility measuresThe
g frequencies and volatility measuresThe fourth part is uncertainty and oil volatility: New evidence. In this study, we first investigate the impacts of economic policy uncertainty (EPU), montary policy uncertainty (MPU), and both of them on oil market volatility. We Preface VIIhave several noteworthy findings. First, the EPU index can significantly icrease the predictive ability compared to benchmark model for the oil market. Second, the high MPU index leads to high fluctuations with respect to oil maket, and can remarkably help in forecasting oil volatility. Third, we first find that the MPU and EPU have useful complementary information, and considered both of them together is more powerful to predict oil volatility than separate them. Our conclusions are robust to different forecasting windows, measures and monetary policy uncertainty.