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. DOI https://doi.org/10.1080/13504851.2014.934425
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. DOI https://doi.org/10.1080/13504851.2014.934425
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. DOI https://doi.org/10.1080/13504851.2014.934425
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 |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 09 Jul 2015 11:56 |
| Last Modified: | 06 Jan 2022 14:39 |
| URI: | http://repository.essex.ac.uk/id/eprint/14065 |