Do intraday data contain more information for volatility forecasting? Evidence from the Chinese commodity futures market

Ying Jiang; Xiaoquan Liu; Wuyi Ye

doi:10.1080/13504851.2014.934425

Do intraday data contain more information for volatility forecasting? Evidence from the Chinese commodity futures market

Ying Jiang, Xiaoquan Liu, Wuyi Ye

Department of Finance, Accounting and Economics

Research output: Journal Publication › Article › peer-review

4 Citations (Scopus)

Abstract

We compare volatility forecasts using daily data and intraday data at different frequencies from the Chinese commodity futures market. Focusing on aluminium, copper and fuel oil futures contracts with 3 months to maturity, our empirical results suggest that in the out-of-sample forecasting tests, there is little informational advantage in generating volatility forecasts using intraday data.

Original language	English
Pages (from-to)	218-222
Number of pages	5
Journal	Applied Economics Letters
Volume	22
Issue number	3
DOIs	https://doi.org/10.1080/13504851.2014.934425
Publication status	Published - 11 Feb 2015

Keywords

GARCH model
forecast evaluation
high-frequency data
realized volatility

ASJC Scopus subject areas

Economics and Econometrics

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10.1080/13504851.2014.934425

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abstract = "We compare volatility forecasts using daily data and intraday data at different frequencies from the Chinese commodity futures market. Focusing on aluminium, copper and fuel oil futures contracts with 3 months to maturity, our empirical results suggest that in the out-of-sample forecasting tests, there is little informational advantage in generating volatility forecasts using intraday data.",

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KW - high-frequency data

KW - realized volatility

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Do intraday data contain more information for volatility forecasting? Evidence from the Chinese commodity futures market

Abstract

Keywords

ASJC Scopus subject areas

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