Forecasting crude oil futures volatility with extreme-value information and dynamic jumps

In this paper, we propose the realized EGARCH model with jumps (hereafter REGARCH-Jump model) to model and forecast the crude oil futures volatility. A key feature of the proposed REGARCH-Jump model is its ability to account for the extreme-value information as well as time-varying jump intensity. We apply the REGARCH-Jump model to the Brent crude oil futures price data. Our empirical results provide evidence of the presence of time-varying jumps in the crude oil futures market. More importantly