Data for: The forecasting power of EPU for crude-oil return volatility

Blent.xlsx is the crude oil prices drives the Brent crude oil volatility. EPU.xlsx is the EPU data of our collected.OVX.xlsx is the Crude Oil Volatility index data.Blent.xlsx 所包含的原油价格数据可驱动布伦特原油（Brent crude oil）的价格波动率。EPU.xlsx 为我们所采集的经济政策不确定性指数（Economic Policy Uncertainty，EPU）数据集。OVX.xlsx 为原油波动率指数（Crude Oil Volatility Index，OVX）数据集。