The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures
The paper investigates the impact of jumps in forecasting co-volatility in the presence of leverage effects. We modify 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...
| Autores: | , , |
|---|---|
| Tipo de recurso: | informe técnico |
| Fecha de publicación: | 2019 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/17467 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/17467 |
| Access Level: | acceso abierto |
| Palabra clave: | C32 C33 C58 Q02 Commodity Markets Co-volatility Forecasting Jump Leverage Effects Realized Covariance Threshold Estimation. Econometría (Economía) 5302 Econometría |
| Sumario: | The paper investigates the impact of jumps in forecasting co-volatility in the presence of leverage effects. We modify 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 for daily crude oil and gold futures show that the co-jumps of the two futures have significant impacts on future co-volatility, but that the impact is negligible in forecasting weekly and monthly horizons. |
|---|