Functional Volatility Relationship Analysis and Prediction in International Crude Oil Futures Markets

IF 1.8 4区 经济学 Q2 BUSINESS, FINANCE
Hao Sun, Xiaodong Li, Zhouzhi Li, Qifeng Fu
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Abstract

To measure intraday volatility in international crude oil futures markets, we use the functional conditional variance to measure volatility and focus on volatility relationship analysis and prediction. This paper analyzes the simultaneous and predictive volatility relationships in crude oil futures markets. For covariate markets with significantly positive predictive volatility relationships, this paper empirically extends the fGARCH-X model so that it can introduce the volatility characteristics of covariate markets. The empirical application shows that using the fGARCH-X model can generally improve the predictive effects of functional volatility in crude oil futures markets. The robustness results indicate that the improvement in volatility prediction is significant. This study is beneficial for the stable development of international crude oil futures markets and is valuable for investors' investment decision-making.

国际原油期货市场的功能波动关系分析与预测
为了衡量国际原油期货市场的日内波动率,我们使用函数条件方差来衡量波动率,并重点关注波动率关系分析和预测。本文分析了原油期货市场的同步波动率关系和预测波动率关系。对于波动率预测关系明显为正的协变量市场,本文对 fGARCH-X 模型进行了实证扩展,使其能够引入协变量市场的波动率特征。实证应用表明,使用 fGARCH-X 模型可以普遍提高原油期货市场功能波动率的预测效果。稳健性结果表明,波动率预测效果的改善是显著的。该研究有利于国际原油期货市场的稳定发展,对投资者的投资决策具有重要价值。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Journal of Futures Markets
Journal of Futures Markets BUSINESS, FINANCE-
CiteScore
3.70
自引率
15.80%
发文量
91
期刊介绍: The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.
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