跳跃风险、结构突变与原油期货价格波动预测

Jump Risk,Structural Breaks and Forecasting Crude Oil Futures Volatility

本文主要是为了检验原油期货市场是否存在明显的跳跃风险和结构突变,并重点调查这两个因素是否对原油期货价格波动有预测作用。在经典或前沿的HAR-RV、HAR-S-RV和PSlev模型中,本文同时考虑跳跃风险和结构突变因素,构建了HAR-RV-J-SB、HAR-S-RV-J-SB和PSlev-J-SB模型。接着,以WTI原油期货的5分钟高频交易数据作为实证样本,对以上模型进行实证分析。实证结果显示:原油期货市场存在明显的跳跃风险和结构突变现象;HAR-RV-J-SB、HAR-S-RV-J-SB和PSlev-J-SB模型对原油期货价格波动的样本外预测精度都明显高于与之相对应的HAR-RV、HAR-S-RV和PSlev模型,且其结果是稳健的。特别地,在HAR-C和LHAR-RV等其它现有HAR族模型中加入跳跃风险和结构突变因素,也能得到类似的结果。本文的研究表明跳跃风险和结构突变因素能显著提高现有绝大多数HAR族模型对原油期货价格的预测精度,所以在HAR族模型的构建中这两个因素不能被忽视。

The accurate forecasting of volatility in the crude oil futures market is an important issue, which has attracted considerable attention from academics, investors, businessmen and governments. This paper mainly aims to test whether the crude oil futures market has obvious jump risk and structural breaks, and investigate whether these two factors can be used to predict the volatility of crude oil futures. Considering jump risk and structural breaks, the HAR-RV-J-SB, HAR-S-RV-J-SB, and PSlev-J-SB models are developed on the basis of HAR-RV, HAR-S-RV, and PSlev models. Then, applying the transaction data of 5-min WTI crude oil futures from the NYMEX-CME, the in-sample and out-of- sample performances of the above models are analyzed. The empirical results show that the crude oil fu- tures market has obvious jump risk and structural breaks. The out-of-sample performances of the HAR -RV-J-SB, HAR-S-RV-J-SB, and PSlev-J-SB models are better than those of the corresponding HAR-RV, HAR-S-RV, and PSlev models, and the results are robust. In particular, similar results can be obtained when jump risk and structural breaks are added to other existing HAR models such as the HAR-C and LHAR-RV models. The above results suggest that considering jump risk and structural breaks can significantly improve the performances of most existing HAR-type models for predicting the volatility of crude oil futures, so these two factors cannot be ignored when proposing new HAR-type models for modeling and forecasting the volatility of crude oil futures. Additionally, the HAR-type models with jump risk and structural breaks developed in this paper perform good predictive powers for the volatility of crude oil futures. The results contribute to the decision of financial traders for portfolio allocation and risk management plan, the industrial production of manufacturers, as well as the relevant policy setting of policymakers.