Estimating the Volatility of Crude Oil Future Market Based on Price Range

摘要：

Oil market volatility forecasting is vital to economic agents and policy makers. However, the classical volatility models, such as GARCH, are return-based models, which are constructed with the data of closing prices. It might neglect the important intraday information of the price movement, and will lead to loss of information and efficiency. So this study introduces and extends the range-based autoregrcssive volatility model to make up for these weaknesses. The empirical results consistently show that the new model successfully captures the dynamics of the volatility and gains good forecasting performance relative to GARCH model.

关键词： volatiity model intraday information price range

作者: Hongquan Li

作者单位: College of Business, Hunan Normal University, Changsha, P.R.China, 410081

会议类型: 国际会议

会议名称: 2011 International Conference on Innovation and Information Management(2011年IEEE创新与信息管理国际会议 ICIIM2011)

会议地点: 成都

会议语种:英文

页码: 375-379

在线出版日期: 2011-01-14（万方平台首次上网日期，不代表论文的发表时间）