摘要
关于原油期货价格波动率的预测研究主要集中在国外市场,中国原油期货合约在一个交易日内被分为3个交易时段,这与国外市场有着很大的不同。交易时间分段可能使中国市场上波动率的结构与国外存在差异。通过异质自回归已实现波动率(HAR-RV)模型框架与半秒钟采样频率的高频期货合约交易数据,对价格波动率的结构特征及预测问题进行研究。研究验证了中国市场上预测的时间尺度由日缩小到交易时段尺度的可行性,发现了中国原油期货价格波动率有时段波动的特征,且时段特征的加入显著提高模型的预测性能。此外,研究还发现,预测时间尺度的缩小促进已实现波动序列平稳性的改善,发展了非平稳时序下HAR-RV模型研究问题,波动率的预测结果可为投资者和管理者对中国原油期货市场设计出更为精准的风险管理工具。
Research on forecasting the price volatility of crude oil futures has focused primarily on foreign markets.Crude oil futures contracts in China are divided into three trading sessions within a single trading day,which differs greatly from those in foreign markets.The segmentation of trading hours may lead to differences in the structure of volatility between the Chinese market and foreign markets.Through the heterogeneous autoregressive realized volatility(HAR-RV)model framework and high-frequency futures contract trading data sampled at a half-second frequency,this paper studies the structural characteristics of price volatility and forecasting issues.It verifies the feasibility of forecasting over smaller time scales from daily to intraday trading session scales in the Chinese market.It is found that Chinese crude oil futures price volatility exhibits interval volatility characteristics,and the inclusion of interval features significantly improves the predictive performance of the model.In addition,it is also found that reducing the forecast horizon facilitates improved stability of the realized volatility series.This paper expands HAR-RV model research to non-stationary time series,and the volatility forecasts can enable investors and risk managers to develop more precise risk management tools tailored to the Chinese crude oil futures market.
作者
任和
徐建军
崔淼森
陈述
陈荣达
REN He;XU Jianjun;CUI Miaosen;CHEN Shu;CHEN Rongda(Zhejiang Research Institute,Zhejiang University of Finance and Economics-University of Chinese Academy of Social Sciences,Hangzhou 310018,China;School of Finance,Zhejiang University of Finance and Economics,Hangzhou 310018,China;Zhejiang Financial College,Hangzhou 310018,China)
出处
《系统管理学报》
CSCD
北大核心
2024年第4期1043-1056,共14页
Journal of Systems & Management
基金
国家社会科学基金重大项目(22&ZD073)
国家统计局重点课题(2022LZ29)。
关键词
中国原油期货
异质自回归已实现波动率模型
时段特征
预测
高频数据
Chinese crude oil futures
heterogeneous autoregressive-realized volatility(HAR-RV)model
time period characteristics
prediction
high-frequency data
