2019-03-01
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures
Publication
Publication
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
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hdl.handle.net/1765/115614 | |
Econometric Institute Research Papers | |
Organisation | Erasmus School of Economics |
Asai, M., Gupta, R., & McAleer, M. (2019). The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures (No. EI2019-16). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/115614 |