Forecasting China's Crude Oil Futures Volatility: The Role of the Jump, Jumps Intensity, and Leverage Effect,Journal of Forecasting

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Forecasting China's Crude Oil Futures Volatility: The Role of the Jump, Jumps Intensity, and Leverage Effect
Journal of Forecasting ( IF 3.4 ) Pub Date : 2020-12-13 , DOI: 10.1002/for.2752
Jiqian Wang ₁ , Feng Ma ₁ , M.I.M. Wahab ₂ , Dengshi Huang ₁

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This study explores the forecasting ability of jump, jump intensity, and leverage effect for an emerging futures market, China's crude oil futures market, using different kinds of HAR-type models. From an in-sample perspective, we find that the HAR components, monthly leverage effect, jump size, and jump intensity have positive effects on future oil volatility. Moreover, out-of-sample results show that a forecasting model with jump and jump intensity cannot only achieve a superior forecasting performance under low volatility level but also increase the economic value. Subsequently, we examine the effect of decompositions of jump information, the results show signed jump components can improve the accuracy. Finally, we extend our empirical analysis considering different forecast horizons, COVID-19 pandemic, and different trading hours. Our empirical results are robust and consistent.

更新日期：2020-12-13

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