High Frequency Analysis on Jumps and Long Memory Volatility in Commodity Futures Prices
2
조회
0
다운로드
2
인용
0
참고문헌
키워드
초록
This paper concerns the high frequency returns of 15 minute commodity futures prices. The FIGARCH model of Baillie etal. (1996) with the usual normality assumption is found to be inappropriate in representing the high frequency commodity futures returns and the rejection of the normal distribution appears to be due to the jumps which are occurred in the high frequency futures returns. Hence, this paper relies on the FIGARCH model combined with the Bernoulli distribution that allows for the jumps. This paper shows that the FIGARCH-Bernoulli distribution model performs quite well in representing the high frequency commodity returns and that the jumps spuriously increase the long memory persistence in the volatility process of the high frequency commodity futures returns.
Abstract
This paper concerns the high frequency returns of 15 minute commodity futures prices. The FIGARCH model of Baillie etal. (1996) with the usual normality assumption is found to be inappropriate in representing the high frequency commodity futures returns and the rejection of the normal distribution appears to be due to the jumps which are occurred in the high frequency futures returns. Hence, this paper relies on the FIGARCH model combined with the Bernoulli distribution that allows for the jumps. This paper shows that the FIGARCH-Bernoulli distribution model performs quite well in representing the high frequency commodity returns and that the jumps spuriously increase the long memory persistence in the volatility process of the high frequency commodity futures returns.
참고문헌 (27)
- Real-time price discovery in stock, bond and foreign exchange markets, "Andersen, T.G", NBER, ~, pp.No. W11312
- Baillie, R.T., "Fractionally integrated generalized autoregressive conditional heteroskedasticity", Journal of Econometrics, 74, pp.3~30 (1996)
- Baillie, R.T, "Long memory models for daily and high frequency commodity futures prices", Journal of Futures Market, 27, pp.643~668 (2007)
- Modeling long memory and structural breaks in conditional variances: an Adaptive FIGARCH approach, "Baillie, R.T", Michigan State University, ~ (2007)
- Beine, M, "Central bank interventions and jumps in double long memory models of daily exchange rates", Journal of Empirical Finance, 10, pp.641~660 (2003)
- Bollerslev, T, "Quasi-maximum likelihood estimation and inference in dynamic models with time varying covariance", Economic Reviews, 11, pp.143~172 (1992)
- Brunetti, C, "Bivariate FIGARCH and fractional cointegration", Journal of Empirical Finance, 7, pp.509~530 (2000)
- Cai, J., "What moves the gold market?", Journal of Futures Markets, 21, pp.257~278 (2001)
- 정상국, "Explaining Asymmetries and Long Memory for Hedge Effectiveness in China Aluminum and Fuel Oil Futures Markets", 金融工學硏究, 7(3), pp.129~158 (2008), 한국금융공학회
- Crato, N, "Memory in returns and volatilities of futures Contracts", Journal of Futures Markets, 20, pp.525~43 (2000)
- Davidson, J.E.H, "Conditional heteroskedasticity models and a new model", Journal of Business and Economic Statistics, 22, pp.16~29 (2004)
- Diebold, F.X, "Long memory and structural changes", Unpublished manuscript,New York University, ~ (1999)
- Franses, P.H, "Additive outliers, GARCH and forecasting volatility", International Journal of Forecasting, 15, pp.1~9 (1999)
- Gallant, A.R, "On the bias in flexible function forms and an essentially unbiased form: the Fourier flexible form", Journal of Econometrics, 15, pp.211~245 (1981)
- Gallant, A.R., "Unbiased determination of production technologies", Journal of Econometrics, 20, pp.285~323 (1982)
- Glasserman P, "The term structure of simple forward rates with jump risk", Mathematical Finance, 13, pp.383~410 (2003)
- Granger, C.W.J, "Occasional structural breaks and long memory with an application to the S&P500 absolute stock returns", Journal of Empirical Finance, 11, pp.399~421 (2004)
- Outliers in GARCH process, "Hotta, L.K", University of Chicago, ~ (1998)
- Karanassos, M, "Persistence in variance, structural change and the GARCH model", Journal of Business and Economic Statistics, 8, pp.225~234 (1990)
- Jin, H.J, "Fractional integration in agricultural futures price volatilities", American Journal of Agricultural Economics, 86, pp.432~443 (2004)
- McFarland, J.W, "The distribution of foreign exchange price changes: trading day effects and risk measurement", Journal of Finance, 37, pp.693~715 (1982)
- Martens, M, "Predicting financial volatility: high frequency time-series forecasts vis-à-vis implied volatility", Journal of Futures Markets, 24, pp.1005~1028 (2004)
- Műller, U.A, "Statistical study of foreign exchange rates, empirical evidence of price change law and intraday Analysis", Journal of Banking and Finance, 14, pp.1189~1208 (1990)
- Press, J, "A compound events model for security prices", Journal of Business, 40, pp.317~335 (1967)
- 이준희, "Pure Jump Levy Process를 가정한 할인채권, Forward LIBOR 그리고 Swap Rate의 기간구조의 관계", 金融工學硏究, 6(2), pp.1~19 (2007), 한국금융공학회
- Vlaar, P.J.G, "The message in weekly exchange rates in the European Monetary System: mean reversion, conditional heteroskedasticity and jumps", Journal of Business and Economic Statistics, 11, pp.351~360 (1993)
- Vlaar, P.J.G, "Interest rate differentials and excess returns in the European Monetary System", Journal of International Financial Markets, Institutions and Money, 7, pp.1~20 (1997)