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首页> 外文期刊>Energy economics >Forecasting oil futures price volatility: New evidence from realized range-based volatility
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Forecasting oil futures price volatility: New evidence from realized range-based volatility

机译：预测石油期货价格的波动性：基于已实现范围波动性的新证据

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摘要

In this article, we investigate the impacts of jump intensity on the volatility of futures in the oil futures market using the heterogeneous autoregressive model of realized range-based volatility (HAR-RRV) and its extended model. We present several interesting and notable findings. First, short-term investors have larger influences on oil futures price volatility. In addition, negative returns are significant, but the effects of jumps and their intensity (probability) appear to not be significant during the in-sample period. Second, the out-of-sample results statistically support that our proposed models are able to achieve higher forecast accuracy than that of the benchmark in both the statistical and economic senses, especially when including the combination of significant jumps and jump intensity. Third, our findings are strongly robust in various checks, such as different forecasting windows, sampling frequencies, and volatility measures. (C) 2018 Elsevier B.V. All rights reserved.
机译：在本文中，我们使用实现的基于范围的波动率的异质自回归模型（HAR-RRV）及其扩展模型，研究跳跃强度对石油期货市场中期货波动率的影响。我们提出了一些有趣且值得注意的发现。首先，短期投资者对石油期货价格波动的影响更大。此外，负收益是显着的，但在样本期内，跳跃及其强度（概率）的影响似乎并不显着。其次，样本外结果在统计上支持我们提出的模型在统计和经济意义上都能够实现比基准更高的预测准确性，尤其是在包括显着跳跃和跳跃强度的组合时。第三，我们的发现在各种检查中都非常有力，例如不同的预测窗口，采样频率和波动率度量。 （C）2018 Elsevier B.V.保留所有权利。

著录项

  • 来源
    《Energy economics》 |2018年第9期|400-409|共10页
  • 作者

    Ma Feng; Zhang Yaojie; Huang Dengshi; Lai Xiaodong;

  • 作者单位

    Southwest Jiaotong Univ, Sch Econ & Management, Chengdu, Sichuan, Peoples R China;

    Southwest Jiaotong Univ, Sch Econ & Management, Chengdu, Sichuan, Peoples R China;

    Southwest Jiaotong Univ, Sch Econ & Management, Chengdu, Sichuan, Peoples R China;

    Southwest Jiaotong Univ, Sch Econ & Management, Chengdu, Sichuan, Peoples R China;

  • 收录信息 美国《科学引文索引》(SCI);美国《工程索引》(EI);
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    Volatility forecasting; Oil futures price; Realized range-based volatility; Jump; Jump intensity;

    机译：波动率预测;石油期货价格;基于范围的已实现波动率;跳跃;跳跃强度;

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