Functional Volatility Relationship Analysis and Prediction in International Crude Oil Futures Markets
Hao Sun,
Xiaodong Li,
Zhouzhi Li
et al.
Abstract:To measure intraday volatility in international crude oil futures markets, we use the functional conditional variance to measure volatility and focus on volatility relationship analysis and prediction. This paper analyzes the simultaneous and predictive volatility relationships in crude oil futures markets. For covariate markets with significantly positive predictive volatility relationships, this paper empirically extends the fGARCH‐X model so that it can introduce the volatility characteristics of covariate … Show more
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