Loading...
Please wait, while we are loading the content...
Similar Documents
Asymmetric Information and Volatility Forecasting in Commodity Futures Markets ☆
| Content Provider | Semantic Scholar |
|---|---|
| Author | Liu, Qingfu Wong, I. An, Yandong Zhang, Jinqing |
| Copyright Year | 2015 |
| Abstract | Article history: Received 5 April 2012 Accepted 13 October 2013 Available online 6 November 2013 This paper investigates the asymmetric characteristics of returns and volatilities of various Chinese commodity futures within the threshold stochastic volatility (THSV) frameworkwith various distribution assumptions. To gauge the capabilities of THSV models in volatility forecasting, the values-at-risk (VaRs) for both long and short positions in these futures are estimated and analyzed. We demonstrate that the asymmetric THSV model outperforms the corresponding symmetric SVmodel, and that the THSVmodelswithnon-normal distributions canbetterfit the futures data than the standard THSV model. Our results clearly indicate that positive and negative news have asymmetric effects on the mean, variance, and variance persistence of all futures under consideration.We also document thatmodeling both themean and variance asymmetries and the fat-tailed feature in return distributions is particularly important to accurately forecast the VaRs for long and short trading positions in commodity futures. © 2013 Elsevier B.V. All rights reserved. JEL classification: C32 G15 |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://isiarticles.com/bundles/Article/pre/pdf/18923.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Futures and promises Futures studies Persistence (computer science) Platelet Glycoprotein 4, human Projections and Predictions Sample Variance Tail Volatility |
| Content Type | Text |
| Resource Type | Article |
