scholarly journals A novel hybrid approach to forecast crude oil futures using intraday data

2020 ◽  
Vol 158 ◽  
pp. 120126 ◽  
Author(s):  
Jeevananthan Manickavasagam ◽  
S. Visalakshmi ◽  
Nicholas Apergis
Keyword(s):  
Crude Oil ◽  
Hybrid Approach ◽  
Oil Futures ◽  
Crude Oil Futures ◽  
Intraday Data

Intraday Periodicity and Volatility Forecasting: Evidence from Indian Crude Oil Futures Market

2017 ◽  
Vol 16 (1) ◽  
pp. 1-28
Author(s):  
B.B. Chakrabarti ◽  
Vivek Rajvanshi
Keyword(s):  
Crude Oil ◽  
Jel Classification ◽  
Futures Contracts ◽  
Return Volatility ◽  
Oil Futures ◽  
Macroeconomic Announcements ◽  
Long Run ◽  
Forecasting Performance ◽  
Crude Oil Futures ◽  
Intraday Data

We estimate intraday periodicities in return volatility by implementing two time series procedures—flexible Fourier form and cubic spline. We use intraday data for more than five years for crude oil futures contracts traded at the Multi Commodity Exchange India Limited. Filtration of the intraday periodicities from the raw returns reveals long-run dependence in volatility. We observe the presence of recurring and consistent intraday patterns in return volatility. Further, we find that adjustment for the intraday periodicity in return volatility improves forecasting performance. Our results are robust after controlling for the scheduled macroeconomic announcements. JEL Classification: C14, C22, G10

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