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首页> 外文期刊>International journal of forecasting >Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks
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Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks

机译：预测原油和金期货的波动性和共同波动：杠杆，跳跃，溢出效应和地缘政治风险的影响

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摘要

To forecast the covariance matrix for the returns of crude oil and gold futures, this paper examines the effects of leverage, jumps, spillovers, and geopolitical risks by using their respective realized covariance matrices. To guarantee the positive definiteness of the forecasts, we consider the full BEKK structure on the conditional Wishart model. By the specification, we can flexibly divide the direct and spillover effects of volatility feedback, negative returns, and jumps. The empirical analysis indicates the benefits of accommodating the spillover effects of negative returns, and the geopolitical risks indicator for modeling and forecasting the covariance matrix. (C) 2020 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
机译：预测原油和黄金期货退货的协方差矩阵，本文审查了利用各自实现协方差矩阵的杠杆，跳跃，溢出波和地缘政治风险的影响。为了保证预测的积极肯定，我们考虑了条件Wishart模型的完整BEKK结构。通过规范，我们可以灵活地划分波动反馈，负返回和跳跃的直接和溢出效应。实证分析表明，适应负返回的溢出效应，以及用于建模和预测协方差矩阵的地缘政治风险指标。 （c）2020国际预测研究所。由elsevier b.v出版。保留所有权利。

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