The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures

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ID: 92949
2019
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Abstract
This paper investigates the impact of jumps in forecasting co-volatility in the presence of leverage effects for daily crude oil and gold futures. We use a modified version of the jump-robust covariance estimator of Koike (2016), such that the estimated matrix is positive definite. Using this approach, we can disentangle the estimates of the integrated co-volatility matrix and jump variations from the quadratic covariation matrix. Empirical results show that more than 80% of the co-volatility of the two futures contains jump variations and that they have significant impacts on future co-volatility but that the impact is negligible in forecasting weekly and monthly horizons.
Reference Key
asai2019theenergies Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Asai, Manabu;Gupta, Rangan;McAleer, Michael;
Journal energies
Year 2019
DOI
DOI not found
URL
https://www.mdpi.com/1996-1073/12/17/3379
Keywords
Technology economics as a science finance economic theory. demography industrial engineering. management engineering applied mathematics. quantitative methods public finance

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