  This paper aims to examine whether the global economic policy uncertainty
(GEPU) and uncertainty changes have different impacts on crude oil futures
volatility. We establish single-factor and two-factor models under the
GARCH-MIDAS framework to investigate the predictive power of GEPU and GEPU
changes excluding and including realized volatility. The findings show that the
models with rolling-window specification perform better than those with
fixed-span specification. For single-factor models, the GEPU index and its
changes, as well as realized volatility, are consistent effective factors in
predicting the volatility of crude oil futures. Specially, GEPU changes have
stronger predictive power than the GEPU index. For two-factor models, GEPU is
not an effective forecast factor for the volatility of WTI crude oil futures or
Brent crude oil futures. The two-factor model with GEPU changes contains more
information and exhibits stronger forecasting ability for crude oil futures
market volatility than the single-factor models. The GEPU changes are indeed
the main source of long-term volatility of the crude oil futures.
