The Chinese oil futures volatility: Evidence from high-low estimator information

被引：0

作者：

Huang, Xiaozhou ^{[1
]}

Wang, Yubao ^{[1
,2
]}

Song, Juan ^{[1
]}

机构：

[1] Hubei Univ Econ, Sch Stat & Math, Wuhan, Peoples R China

[2] Zhongnan Univ Econ & Law, Sch Stat & Math, Wuhan, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2023年 / 56卷

关键词：

Volatility forecasting; High-low estimator; Oil futures volatility; Nonlinear model;

D O I：

10.1016/j.frl.2023.104108

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper mainly investigates whether the high-low estimator has valuable information to predict the Chinese oil futures volatility. The results show that the high-low estimator constructed based on daily prices contains useful information to predict the Chinese oil futures volatility. Moreover, adding regime switching to the models is helpful to improve forecasting accuracy, especially combining regime switching and the high-low estimator. This paper tries to provide new evidence for Chinese oil futures volatility prediction.

引用

页数：4