Forecasting the volatility of crude oil futures using high-frequency data: further evidence |
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Authors: | Feng Ma Yu Wei Wang Chen Feng He |
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Affiliation: | 1.School of Economics and Management,Southwest Jiaotong University,Chengdu,China;2.School of Finance,Yunnan University of Finance and Economics,Kunming,China;3.College of Finance and Economics,Yangtze Normal University,Chongqing,China;4.Institute of Finance and Development,Nankai University,Tianjin,China |
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Abstract: | We forecast the realized volatility of crude oil futures market using the heterogeneous autoregressive model for realized volatility and its various extensions. Out-of-sample findings indicate that the inclusion of jumps does not improve the forecasting accuracy of the volatility models, whereas the “leverage effect” pertaining to the difference between positive and negative realized semi-variances can significantly improve the forecasting accuracy in predicting the short- and medium-term volatility. However, the signed jump variations and its decomposition couldn’t significantly enhance the models’ forecasting accuracy on the long-term volatility. |
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