Forecast on Oil Futures Volatility Based on HAR-RV Model and HAR-RV-SW Model
These authors contribute equally.
- DOI
- 10.2991/assehr.k.211209.057How to use a DOI?
- Keywords
- crude oil futures; HAR-RV model; HAR-RV-SW model; parameter estimation; volatility forecasting
- Abstract
Crude oil is an important chemical raw material and energy source, and its price is very crucial to the cost of industrial development. Therefore, the forecast of crude oil prices is also very meaningful. This paper studies the correlation between the actual daily, weekly, and monthly volatility and the forecast volatility by establishing a HAR-RV model. Through the establishment of this model, we study the influence of the weekday effect on the forecast of volatility and find that the forecast of daily volatility is positively correlated with weekly volatility, while daily, weekly and monthly volatilities have a positive correlation with the forecast of weekly volatility. Besides, we have also established the HAR-RV-SW model and obtained the forecast of the volatility of daily, weekly, and monthly has a day-to-the-week effect. This can help us predict crude oil futures prices through historical data.
- Copyright
- © 2021 The Authors. Published by Atlantis Press International B.V.
- Open Access
- This is an open access article under the CC BY-NC license.
Cite this article
TY - CONF AU - Nuo Chen AU - Xinyi Chen PY - 2021 DA - 2021/12/15 TI - Forecast on Oil Futures Volatility Based on HAR-RV Model and HAR-RV-SW Model BT - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021) PB - Atlantis Press SP - 337 EP - 343 SN - 2352-5428 UR - https://doi.org/10.2991/assehr.k.211209.057 DO - 10.2991/assehr.k.211209.057 ID - Chen2021 ER -