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

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題名:	The Impact of the Open Interest on the Realized Volatility: Evidence form the Oil and Gas Futures
作者:	Tseng, Tseng-Chan
貢獻者:	Department of Finance at the Nan Kai University
關鍵詞:	HAR-RRV model;Realized range-based variance;Oil and gas futures;Open interest;Futures markets.
日期:	2012-05-01
上傳時間:	2013-07-26 03:23:05 (UTC+0)
出版者:	Department of Finance at the Nan Kai University
摘要:	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
關聯:	2012中部學術財金研討會論文發表
顯示於類別:	[財務金融學系] 會議論文

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