To predict the volatility of crude oil Brent price, we propose a novel econometric model 1 where the explanatory variables are a combination of macroeconomic variables (i.e. price pressure), trade data (freight shipment index), and market sentiment (gold volatility). The model is proposed in two alternative variants: first, we assume Gaussian distributed quantities; alternatively, we consider the potential presence of skewness and adopt a Skew–Brownian process. We show that the suggested approach outperforms the selected baseline model as well as other models proposed in the literature, especially when turbulent periods occur.

Temporary free link https://authors.elsevier.com/a/1jSYncUIKZnvv