Realized volatility forecasting and volatility spillovers: Evidence from Chinese non-ferrous metals futures
Realized volatility forecasting and volatility spillovers: Evidence from Chinese non-ferrous metals futures
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已实现的波动率预测和波动率溢出：来自中国有色金属期货的证据
DOI：
10.1002/ijfe.1929
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发表时间：
2020
影响因子：
2.9
通讯作者：
Su Xingze
中科院分区：
文献类型：
--
作者：
Wang Donghua;Xin Yang;Chang Xiaohui;Su Xingze
我们研究了上海期货交易所2011年3月至2017年12月有色金属期货的已实现波动率预测。采用动态模型平均模型，利用基于单个模型性能的时变权值组合多个预测模型。实证结果还表明，包含金属波动溢出的模型对预测组合很重要，短期溢出比长期溢出的影响更大。这种方法提供了最佳的预测性能，并允许用户在任何给定时间确定最主要的模型，并演示另一种金属的波动率传输何时以及如何对预测有价值。我们还发现了新兴市场和发达市场存在不同交易行为的证据。
We study the prediction of realized volatility of non‐ferrous metals futures traded on the Shanghai Futures Exchange from March 2011 to December 2017. A dynamic model averaging model is employed to combine multiple prediction models using time‐varying weights based on individual model performance. Empirical results also reveal that models incorporating volatility spillovers across metals are important for forecast combinations, and short‐term spillovers have a stronger impact than long‐term spillovers. This approach offers the best forecasting performance and allows users to identify the most dominant model at any given time and demonstrate when and how volatility transmission from another metal is valuable for forecasting. We also find evidence of distinct trading behaviours in emerging and developed markets.