Forecasting Daily Volatility of Fuel Oil Futures on the SHFE Based on Multiracial Analysis

摘要：

　　Using high-frequency intraday quotes for the fuel oil futures on the Shanghai Futures Exchange (SHFE) in China, this paper first adopts a daily volatility measure-multi fractal volatility (MFV)-based on multi fractal analysis, and develops an ARFIMA process to model its dynamics.Second, daily out-of-sample volatility of fuel oil futures on the SHFE is calculated using GARCH-type, stochastic volatility (SV) and our MFV models.Last, the volatility forecasting performance of different models is evaluated using the superior predictive ability (SPA) test and with different loss functions.The results indicate that the MFV model used in this paper produces much more accurate volatility forecasts compared to the GARCH-type and stochastic volatility models under most loss functions.

关键词： multiracial volatility forecasting oil futures shanghai futures exchange SPA test

作者: Wu Xiaoxiong

作者单位: School of Economics and Management, Southwest Jiaotong University, Chengdu, P.R.China, 610031

会议类型: 国际会议

会议名称: 2013 International Conference on Strategic Management(2013年战略管理国际会议)

会议地点: 成都

会议语种:英文

页码: 581-588

在线出版日期: 2013-12-15（万方平台首次上网日期，不代表论文的发表时间）