Volatility forecasting in the Chinese commodity futures market with intraday data

被引：15

作者：

Jiang Y. ^{[1
]}

Ahmed S. ^{[2
]}

Liu X. ^{[1
]}

机构：

[1] Nottingham University Business School China, University of Nottingham Ningbo, Ningbo

[2] Nottingham University Business School, University of Nottingham, Nottingham

来源：

Review of Quantitative Finance and Accounting | 2017年 / 48卷 / 4期

关键词：

Econometric models; Futures market regulation; Long memory time series; Out-of-sample predictability; Realized volatility;

D O I：

10.1007/s11156-016-0570-4

中图分类号：

学科分类号：

摘要：

Given the unique institutional regulations in the Chinese commodity futures market as well as the characteristics of the data it generates, we utilize contracts with three months to delivery, the most liquid contract series, to systematically explore volatility forecasting for aluminum, copper, fuel oil, and sugar at the daily and three intraday sampling frequencies. We adopt popular volatility models in the literature and assess the forecasts obtained via these models against alternative proxies for the true volatility. Our results suggest that the long memory property is an essential feature in the commodity futures volatility dynamics and that the ARFIMA model consistently produces the best forecasts or forecasts not inferior to the best in statistical terms. © 2016, The Author(s).

引用

页码：1123 / 1173

页数：50

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