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<p>This study addresses the challenge of forecasting extreme volatility in crude oil futures during geopolitical crises, with a focus on the Russia–Ukraine conflict. We evaluate the Heterogeneous Autoregressive Quarticity (HARQ) model, which enhances traditional volatility forecasting by incorporating information on how volatile the volatilities are referred to as quarticity. This allows the model to adapt more dynamically to sudden market stress. Our results show that HARQ and its extended full version (HARQF) outperform other benchmark models in both short- and long-term forecasting, particularly during periods of heightened uncertainty. The findings are robust across a range of specification and sensitivity tests. Practically, this work provides investors, oil companies, and regulators with a more reliable tool for financial risk management, supporting better hedging decisions, margin setting, and stress testing in times of geopolitical turmoil.</p>

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Extreme volatility of crude oil futures in the wake of a black swan event

  • 期刊论文

  • 发表日期：

    2026年3月9日

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  • Xiaohang Ren,
  • Wanping Yang,
  • Wenting Jiang,
  • Yi Jin

摘要

This study addresses the challenge of forecasting extreme volatility in crude oil futures during geopolitical crises, with a focus on the Russia–Ukraine conflict. We evaluate the Heterogeneous Autoregressive Quarticity (HARQ) model, which enhances traditional volatility forecasting by incorporating information on how volatile the volatilities are referred to as quarticity. This allows the model to adapt more dynamically to sudden market stress. Our results show that HARQ and its extended full version (HARQF) outperform other benchmark models in both short- and long-term forecasting, particularly during periods of heightened uncertainty. The findings are robust across a range of specification and sensitivity tests. Practically, this work provides investors, oil companies, and regulators with a more reliable tool for financial risk management, supporting better hedging decisions, margin setting, and stress testing in times of geopolitical turmoil.