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

Research output: Journal PublicationArticlepeer-review

2 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 languageEnglish
Pages (from-to)218-222
Number of pages5
JournalApplied Economics Letters
Volume22
Issue number3
DOIs
Publication statusPublished - 11 Feb 2015
Externally publishedYes

Keywords

  • GARCH model
  • forecast evaluation
  • high-frequency data
  • realized volatility

ASJC Scopus subject areas

  • Economics and Econometrics

Fingerprint

Dive into the research topics of 'Do intraday data contain more information for volatility forecasting? Evidence from the Chinese commodity futures market'. Together they form a unique fingerprint.

Cite this