Title: Modeling Jump and Continuous Components in the Volatility of Oil Futures
Authors: Tseng, Tseng-Chan
Chung, Huimin
Huang, Chin-Sheng
交大名義發表
National Chiao Tung University
Issue Date: 2009
Abstract: In this study, we use the 'heterogeneous autoregressive' (HAR) model and replace all squared returns with a squared range to estimate realized range-based volatility (RRV) forecasts for oil futures prices. Our findings demonstrate that the HAR-RRV models, involving volatility measures with a realized range-based estimator, successfully capture the long-term memory behavior of volatility in oil futures contracts. We find that realized range-based bi-power variation (RBV), which is also immune to jumps, is a better regressor for future volatility prediction, significantly outperforming the AR model. Similar to the findings for financial markets, we also find that the jump components of RRV have little predictive power for oil futures contracts.
URI: http://hdl.handle.net/11536/14204
ISSN: 1081-1826
Journal: STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS
Volume: 13
Issue: 3
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