Do intraday data contain more information for volatility forecasting? : evidence from the Chinese commodity futures market
Year of publication: |
2015
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Authors: | Jiang, Ying ; Liu, Xiaoquan ; Ye, Wuyi |
Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 22.2015, 1/3, p. 218-222
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Subject: | high-frequency data | realized volatility | forecast evaluation | GARCH model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | China | Kapitaleinkommen | Capital income | Rohstoffderivat | Commodity derivative |
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