Journal
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
Volume 66, Issue -, Pages 1-12Publisher
ELSEVIER
DOI: 10.1016/j.iref.2019.10.014
Keywords
Volatility forecasting; Oil futures price; Volatility of realized volatility; Forecasting evaluation
Categories
Funding
- Natural Science Foundation of China [71901041, 71971191, 71671145, 71701170, 71701171]
- Humanities and Social Science Fund of the Ministry of Education [17YJC790105, 17XJCZH002]
- Fundamental Research Funds for the Central Universities [2682017WCX01, 2682018WXTD05]
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In this article, we account for the conditional time-varying volatility of realized volatility to model and forecast oil futures price volatility based on the HAR-RV model and its various extensions. Our empirical results reveal several noteworthy observations. First, the in-sample results indicate that the residuals of the HAR-RV-type models exhibit a significant ARCH effect. Second, the out-of-sample results demonstrate that compared to the linear HAR-RV-type models, the HAR-RV-type models, including the FIGARCH structure models, can generally generate a higher forecast accuracy when forecasting short-term horizon volatility. Third, when predicting middle-term and long-term volatilities, the proposed model, i.e., HAR-S-RV-J-FIGARCH, can exhibit a higher predictive ability.
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