Dynamic determinants of price volatility across energy commodities: crude oil, natural gas, coal, and uranium markets

Purpose This study aims to assess the effects of macro-level factors on forecasts of price volatility for crude oil, natural gas, coal, and uranium, and to identify the key factors influencing predictive models in order to enhance the accuracy and reliability of energy price forecasts. Design/methodology/approach The study uses the Generalized Autoregressive Conditional Heteroskedasticity-Mixed Data Sampling (GARCH-MIDAS) model, combining factor selection techniques within a single modelling fra