Influencing Factors Analysis of Crude Oil Futures Price Volatility Based on Mixed-Frequency Data

Influencing Factors Analysis of Crude Oil Futures Price Volatility Based on Mixed-Frequency Data

This article takes into account the form of mixed data as well as the peak and thick tail characteristics contained in the data characteristics, expands the GARCH-MIDAS (Generalized Autoregressive Conditional Heteroskedasticity-Mixed Data Sampling) model, establishes a new GARCH-MIDAS model with the...

Full description

Bibliographic Details
Main Authors:	Congxin Wu, Xinyu Wang, Shan Luo, Jing Shan, Feng Wang
Format:	Article
Language:	English
Published:	MDPI AG 2020-11-01
Series:	Applied Sciences
Subjects:	crude oil futures volatility GARCH-MIDAS mixed-frequency data
Online Access:	https://www.mdpi.com/2076-3417/10/23/8393

Similar Items

Identifying the Determinants of Crude Oil Market Volatility by the Multivariate GARCH-MIDAS Model
by: O-Chia Chuang, et al.
Published: (2022-04-01)

Volatility predictability in crude oil futures: Evidence based on OVX, GARCH and stochastic volatility models
by: Zheng Zhang, et al.
Published: (2023-11-01)

Closer is more important: The impact of Chinese and global macro-level determinants on Shanghai crude oil futures volatility
by: Xiaoling Yu, et al.
Published: (2024-09-01)

Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model
by: Jian Liu, et al.
Published: (2021-10-01)

Forecasting Crude Oil Future Volatilities with a Threshold Zero-Drift GARCH Model
by: Tong Liu, et al.
Published: (2022-08-01)

What drives risk in China’s soybean futures market? Evidence from a flexible GARCH-MIDAS model
by: Xinyu Wang, et al.
Published: (2022-12-01)

Investigating factors influencing oil volatility: a GARCH-MIDAS model analysis
by: Yiyi Le, et al.
Published: (2024-06-01)

Macroeconomic Uncertainty and Crude Oil Futures Volatility–Evidence from China Crude Oil Futures Market
by: Adan Yi, et al.
Published: (2021-03-01)

Study of Volatility Spillover from Crude Oil Futures to Grain Futures Across Multiple Cycles Based on the EEMD-BEKK-GARCH Model
by: Xizhao Wang, et al.
Published: (2024-12-01)

Determinants of the Long-Term Correlation between Crude Oil and Stock Markets
by: Lu Yang, et al.
Published: (2019-10-01)

Time-varying risk aversion and dynamic dependence between crude oil futures and European Union allowance futures markets
by: Xinyu Wu, et al.
Published: (2023-05-01)

Price and Volatility Spillovers Between the US Crude Oil and Natural Gas Wholesale Markets
by: Theodosios Perifanis, et al.
Published: (2018-10-01)

Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic
by: Krzysztof Echaust, et al.
Published: (2021-07-01)

Volatility Spillovers in U.S. Crude Oil, Ethanol, and Corn Futures Markets
by: Andres Trujillo-Barrera, et al.
Published: (2012-08-01)

The effect of new futures contracts on gold futures price volatility: Evidence from the Thailand futures exchange
by: Woradee Jongadsayakul
Published: (2020-01-01)

SUSTAINABILITY OF EXCHANGE RATES AND CRUDE OIL PRICES CONNECTION WITH COVID-19: AN INVESTIGATION FOR BRICS
by: PARUL BHATIA
Published: (2021-10-01)

Volatility integration of crude oil, gold, and interest rates on the exchange rate: DCC GARCH and BEKK GARCH applications
by: Shailesh Rastogi, et al.
Published: (2024-12-01)

Forecasting the volatility of crude oil futures: New evidence from jump-induced volatility
by: Anupam Dutta, et al.
Published: (2024-11-01)

Estimating the Impact of Oil Price Volatility on the Ecuadorian Economy: A MIDAS Approach
by: Freddy Ronalde Camacho-Villagomez, et al.
Published: (2024-07-01)

On Stock Volatility Forecasting under Mixed-Frequency Data Based on Hybrid RR-MIDAS and CNN-LSTM Models
by: Wenfeng Ma, et al.
Published: (2024-05-01)

The Use of GARCH Autoregressive Models in Estimating and Forecasting the Crude Oil Volatility
by: Radu-Cristian MUȘETESCU, et al.
Published: (2022-06-01)

Red Meat Price Volatility and Its Relationship with Crude Oil and Exchange Rates in Turkey with the Approach of GARCH (p, q) Model
by: Melek AKAY
Published: (2021-12-01)

Testing the volatility spillover between crude oil price and the U.S. stock market returns
by: Mehmet Kondoz, et al.
Published: (2019-05-01)

Forecasting Spot and Future Gold Coin Price Volatility and Their Predictive Power on Each Other by Using ANN-GARCH Model
by: Nafiseh Shahmoradi, et al.
Published: (2021-03-01)

The Impact of Macroeconomic News on Chinese Futures
by: Ruobing Liu, et al.
Published: (2019-10-01)

Exploring the Dynamics of Brent Crude Oil, S&P500 and Bitcoin Prices Amid Economic Instability
by: Adela Bara, et al.
Published: (2024-01-01)

The Relationship between Crude Oil Futures Market and Chinese/US Stock Index Futures Market Based on Breakpoint Test
by: Xunfa Lu, et al.
Published: (2021-09-01)

Volatility spillovers and conditional correlations between oil, renewables and stock markets: A multivariate GARCH-in-mean analysis
by: Wenxue Wang, et al.
Published: (2025-01-01)

Volatility Transmission between Oil Price and Exchange Rate
by: Arafet Hamida, et al.
Published: (2024-09-01)

Forecasting crude oil futures volatility with extreme-value information and dynamic jumps
by: Wenliang Shu, et al.
Published: (2025-02-01)

Industry-specific effects of economic policy uncertainty on stock market volatility: A GARCH-MIDAS approach
by: Simiso Msomi, et al.
Published: (2024-08-01)

Effect of Crude Oil Price Volatilities on the Leverage Requirements of Companies Listed on the Stock Exchange
by: Sima Arabani, et al.
Published: (2023-03-01)

Crude Oil Spot Price Forecasting Based on Multiple Crude Oil Markets and Timeframes
by: Shangkun Deng, et al.
Published: (2014-04-01)

Modeling Crude Oil Price Dynamics: Investigation of Jump and Volatility Using Stochastic Volatility Models (Case study: WTI crude oil prices in 2020 and 2021)
by: mojtaba rostami, et al.
Published: (2020-12-01)

Sector Volatility Spillover and Economic Policy Uncertainty: Evidence from China’s Stock Market
by: Xiaqing Su, et al.
Published: (2021-06-01)

A MIXED FREQUENCY ANALYSIS OF CONNECTIONS BETWEEN MACROECONOMIC VARIABLES AND STOCK MARKETS IN CENTRAL AND EASTERN EUROPE
by: Radu LUPU, et al.
Published: (2014-07-01)

Forecasting the volatility of European Union allowance futures with time-varying higher moments and time-varying risk aversion
by: Xinyu Wu, et al.
Published: (2022-08-01)

Forecasting Crude Oil Futures Prices
by: Saeed Moshiri, et al.
Published: (2005-01-01)

An analysis of price and volatility transmission in butter, palm oil and crude oil markets
by: Dennis Bergmann, et al.
Published: (2016-11-01)

Volatility Dynamics of Base Metal Futures: Empirical Evidence from an Emerging Economy
by: Laxmidhar Samal
Published: (2024-05-01)