A Markov switching model of the conditional volatility of crude oil futures prices
A Markov switching model of the conditional volatility of crude oil futures prices
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DOI：
10.1016/s0140-9883(01)00087-1
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发表时间：
2002-01-01
期刊：
影响因子：
12.8
通讯作者：
See, KH
中科院分区：
文献类型：
--
作者：
Fong, WM;See, KH
本文研究了原油期货日收益率波动的时间行为，使用广义政权转换模型，允许突然变化的均值和方差，Gestival动态，基础驱动的时变转移概率和条件尖峰。这个灵活的模型使我们能够在一个相对简约的设置中捕捉到条件波动率的许多复杂特征。我们发现，政权转移是明确存在于数据和主导Gynthologic效应。在高波动性状态下，负基差比正基差更可能增加制度持续性，这一发现与以前对储存理论的实证研究一致，例如法马和弗伦奇（1988 a，B）以及Ng和Pirrong（1994）。我们的模型所确定的波动机制与影响石油供需的重大事件密切相关。样本外测试表明，政权切换模型的表现明显优于非开关模型，无论评价标准。我们的结论是，政权转换模型提供了一个有用的框架，金融历史学家有兴趣研究波动性的演变背后的因素和石油期货交易者有兴趣的短期波动性预测。(C)2002 Elsevier Science B.V.保留所有权利。
This paper examines the temporal behaviour of volatility of daily returns on crude oil futures using a generalised regime switching model that allows for abrupt changes in mean and variance, GARCH dynamics, basis-driven time-varying transition probabilities and conditional leptokurtosis. This flexible model enables us to capture many complex features of conditional volatility within a relatively parsimonious set-up. We show that regime shifts are clearly present in the data and dominate GARCH effects. Within the high volatility state, a negative basis is more likely to increase regime persistence than a positive basis, a finding which is consistent with previous empirical research on the theory of storage, e.g. Fama and French (1988a,b) and Ng and Pirrong (1994). The volatility regimes identified by our model correlate well with major events affecting supply and demand for oil. Out-of-sample tests indicate that the regime switching model performs noticeably better than non-switching models regardless of evaluation criteria. We conclude that regime switching models provide a useful framework for the financial historian interested in studying factors behind the evolution of volatility and to oil futures traders interested short-term volatility forecasts. (C) 2002 Elsevier Science B.V. All rights reserved.