|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|101647||2017||10 صفحه PDF||سفارش دهید||8613 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Energy Economics, Volume 67, September 2017, Pages 136-145
Considering nonlinear and highly persistent dynamics of realized volatility, we introduce Markov regime switching models to the Heterogeneous Autoregressive model of the Realized Volatility (HAR-RV) models to forecast the realized volatility of the crude oil futures market. In-sample results demonstrate that the high volatility regime is short-lived. Out-of-sample results suggest that HAR-RV models with regime switching increase the forecasting ability significantly than those without regime switching. Moreover, these findings are robust for different actual volatility benchmarks, forecasting windows, and model settings.