Research Repository

Do intraday data contain more information for volatility forecasting? Evidence from the Chinese commodity futures market

Jiang, Ying and Liu, Xiaoquan and Ye, Wuyi (2015) 'Do intraday data contain more information for volatility forecasting? Evidence from the Chinese commodity futures market.' Applied Economics Letters, 22 (3). pp. 218-222. ISSN 1350-4851

Full text not available from this repository.

Abstract

We compare volatility forecasts using daily data and intraday data at different frequencies from the Chinese commodity futures market. Focusing on aluminium, copper and fuel oil futures contracts with 3 months to maturity, our empirical results suggest that in the out-of-sample forecasting tests, there is little informational advantage in generating volatility forecasts using intraday data.

Item Type: Article
Uncontrolled Keywords: high-frequency data, realized volatility, forecast evaluation, GARCH model
Subjects: H Social Sciences > HF Commerce
Divisions: Faculty of Social Sciences > Essex Business School
Depositing User: Jim Jamieson
Date Deposited: 09 Jul 2015 11:56
Last Modified: 09 Jul 2015 11:56
URI: http://repository.essex.ac.uk/id/eprint/14065

Actions (login required)

View Item View Item