The Impact of the Open Interest on the Realized
Volatility: Evidence form the Oil and Gas Futures

ASIAIR > College of Management > Department of Finance > Proceedings > Item 310904400/38927

Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/38927

Title:	The Impact of the Open Interest on the Realized Volatility: Evidence form the Oil and Gas Futures
Authors:	Tseng, Tseng-Chan
Contributors:	Department of Finance at the Nan Kai University
Keywords:	HAR-RRV model;Realized range-based variance;Oil and gas futures;Open interest;Futures markets.
Date:	2012-05-01
Issue Date:	2013-07-26 03:23:05 (UTC+0)
Publisher:	Department of Finance at the Nan Kai University
Abstract:	In this study, I use intraday data on oil and gas futures contracts, and then analyze the data by incorporating open interest variable into the ‘heterogeneous auto-regressive’ (HAR) model of realized volatility, which is measured by range-based estimation within intraday high-low prices. Our findings demonstrate that the open interest provides significant explanation for futures realized volatility. I also demonstrate that the modified model do enhance the forecasting performance of volatility, indicating that the modified model has more accurate predictive capability than the benchmark model, with the results holding for both the in-sample and out-of-sample predictions
Relation:	2012中部學術財金研討會論文發表
Appears in Collections:	[Department of Finance] Proceedings

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