Realized Volatility Forecasting of Agricultural Commodity Futures Using Long Memory and Regime Switching
JOURNAL OF FORECASTING(2017)
摘要
We investigate the dynamic properties of the realized volatility of five agricultural commodity futures by employing the high-frequency data from Chinese markets and find that the realized volatility exhibits both long memory and regime switching. To capture these properties simultaneously, we utilize a Markov switching autoregressive fractionally integrated moving average (MS-ARFIMA) model to forecast the realized volatility by combining the long memory process with regime switching component, and compare its forecast performances with the competing models at various horizons. The full-sample estimation results show that the dynamics of the realized volatility of agricultural commodity futures are characterized by two levels of long memory: one associated with the low-volatility regime and the other with the high-volatility regime, and the probability to stay in the low-volatility regime is higher than that in the high-volatility regime. The out-of-sample volatility forecast results show that the combination of long memory with switching regimes improves the performance of realized volatility forecast, and the proposed model represents a superior out-of-sample realized volatility forecast to the competing models. Copyright (C) 2016 John Wiley & Sons, Ltd.
更多查看译文
关键词
realized volatility,forecast,agricultural commodity futures,long memory,regime switching
AI 理解论文
溯源树
样例
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要