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...

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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

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