scholarly journals Volatility Forecasting Based on Cyclical Two-Component Model: Evidence from Chinese Futures Markets and Sector Stocks

2020 ◽  
Vol 25 (3) ◽  
pp. 59
Author(s):  
Conghua Wen ◽  
Junwei Wei
Keyword(s):  
Futures Markets ◽  
Realized Volatility ◽  
Futures Market ◽  
Component Model ◽  
Type Model ◽  
Volatility Forecasting ◽  
Improved Method ◽  
Two Component ◽  
Model Evidence ◽  
The Impact

This article aims to study the schemes of forecasting the volatilities of Chinese futures markets and sector stocks. An improved method based on the cyclical two-component model (CTCM) introduced by Harris et al. in 2011 is provided. The performance of CTCM is compared with the benchmark model: Heterogeneous Autoregressive model of Realized Volatility type (HAR-RV type). The impact of open interest for futures market is included in HAR-RV type model. We employ 3 different evaluation rules to determine the most efficient models when the results of different evaluation rules are inconsistent. The empirical results show that CTCM is more accurate than HAR-RV type in both estimation and forecasting. The results also show that the realized range-based tripower volatility (RTV) is the most efficient estimator for both Chinese futures markets and sector stocks.

Does VPIN provide predictive information for realized volatility forecasting: evidence from Chinese stock index futures market

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Conghua Wen ◽  
Fei Jia ◽  
Jianli Hao
Keyword(s):  
High Frequency ◽  
Realized Volatility ◽  
Futures Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Trading Behavior ◽  
Volatility Forecasting ◽  
Content Type ◽  
Index Futures ◽  
Intraday Data

PurposeUsing intraday data, the authors explore the forecast ability of one high frequency order flow imbalance measure (OI) based on the volume-synchronized probability of informed trading metric (VPIN) for predicting the realized volatility of the index futures on the China Securities Index 300 (CSI 300).Design/methodology/approachThe authors employ the heterogeneous autoregressive model for realized volatility (HAR-RV) and compare the forecast ability of models with and without the predictive variable, OI.FindingsThe empirical results demonstrate that the augmented HAR model incorporating OI (HARX-RV) can generate more precise forecasts, which implies that the order imbalance measure contains substantial information for describing the volatility dynamics.Originality/valueThe study sheds light on the relation between high frequency trading behavior and volatility forecasting in China's index futures market and reveals the underlying market mechanisms of liquidity-induced volatility.

Exposure to Information, Belief Integration, and Individual Responsiveness to Agenda Change

1984 ◽  
Vol 78 (2) ◽  
pp. 372-391 ◽  
Author(s):  
Michael MacKuen
Keyword(s):  
Multivariate Analysis ◽  
Public Choice ◽  
Social Motivation ◽  
Public Affairs ◽  
Political Interest ◽  
Component Model ◽  
Political Agenda ◽  
Two Component ◽  
Individual Responsiveness ◽  
The Impact

This article examines individual responsiveness to the media's changing political agenda during the years from 1964 to 1980. In the context of a dynamic model, the data indicate that responsiveness is positively associated with education, political interest, and a social motivation to attend to public affairs. A two-component model, in which heightened involvement increases individuals' exposure to information but also decreases their receptivity to the impact of the messages, is considered in a multivariate analysis. Although the results are only suggestive, the exposure function appears to operate for all three variables, whereas the inhibitions owing to the integration of previous information are evident only for political interest. Some speculations are offered about how these results may elaborate models of democratic public choice.

scholarly journals Volatility Dynamics in Oil and Oilseeds Spot and Futures Market in India

2016 ◽  
Vol 41 (2) ◽  
pp. 132-148 ◽  
Author(s):  
Meenakshi Malhotra ◽  
Dinesh Kumar Sharma
Keyword(s):  
Futures Markets ◽  
Garch Model ◽  
Price Volatility ◽  
Spot Market ◽  
Futures Market ◽  
Spot Price ◽  
Volatility Spillover ◽  
Trading Activity ◽  
Futures Trading ◽  
The Impact

Executive Summary India occupies the fifth position in the vegetable oil economy of the world. The demand for oilseeds and vegetable oil has far exceeded the domestic output necessitating huge imports. Futures market helps to bring price stability for the development of the underlying physical market. The present study investigates the volatility dynamics in spot and futures markets of select oil and oilseeds commodities. The objectives of this article are to study (a) the information transmission process between spot and futures markets, also called volatility spillover and (b) the impact of futures trading activity on the volatility of physical market prices. The commodities selected from oil and oilseeds segment are refined soya oil, mustard seed, crude palm oil, and mentha oil. The study uses basic Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model to capture volatility in prices of the selected commodities. Bivariate GARCH model makes use of information in the history of two different markets for testing volatility spillover between two markets of the same underlying commodity. The relationship between futures trading activity and spot price volatility is investigated for examining the impact of futures trading activity on the volatility of underlying spot market. Two variables, viz., futures trading volume and open interest are decomposed into expected and unexpected components and are taken as a proxy for the level of trading activity. The contemporaneous and dynamic relationships are studied with the help of augmented GARCH model and Granger causality, respectively. It is observed that there is an efficient transmission of information between spot and futures markets but it is the spot market which leads to the flow of information to futures and hence causes greater spillover of volatility. The spot market has a greater impact on the volatility of futures market, indicating that informational efficiency of oilseeds spot market is stronger than that of the futures market. The contemporaneous and dynamic relationship between spot price volatility and futures trading activity tested with econometric models provide evidence of the destabilizing impact of an unexpected increase in futures trading activity (volume or open interest) on the spot price volatility in three out of four commodities studied. This indicates that badly informed traders present in futures market are destabilizing the underlying spot market by inducing noise and lowering the information content of prices.

Radiometric Chronology of Neh–nar Glacier, Kashmir

1982 ◽  
Vol 28 (98) ◽  
pp. 91-105 ◽  
Author(s):  
V. N. Nijampurkar ◽  
N. Bhandari ◽  
C. P. Vohra ◽  
V. Krishnan
Keyword(s):  
Average Rate ◽  
Component Model ◽  
Vertical Profiles ◽  
Kashmir Valley ◽  
Movement Rate ◽  
Accumulation Zone ◽  
Core Samples ◽  
Surface Samples ◽  
Two Component

AbstractSurface and core samples of Neh–nar Glacier in the Kashmir Valley have been analysed for the radionuclides 32Si. 210Pb, 40K, and 137Cs. The lateral and vertical profiles (at an altitude of about 4 140 m) reveal:(1)32Si activity decreasing slowly from the accumulation zone to 4 050 m altitude and then abruptly towards the snout.(2)Five zones of alternating high and low 210Pb activity in the surface samples.(3)An horizon at between 2 and 3 m depth containing 210Pb activity above natural levels. This horizon is also associated with 137Cs and a maximum in total ß activity.The ice samples have been dated on the basis of a simplified two–component model, the “fresh“contribution determined by 2l0Pb and the old component by 32Si. The following conclusions can be drawn from these observations:(1)The model age of the snout ice is c. 850 years.(2)The average rate of ice movement in the lower glacier is about 2 m/year, which compares well with the annual movement rate of 2.65 m/year observed since 1974.

scholarly journals Estimation of Galactic Model Parameters by Interval Method

1996 ◽  
Vol 169 ◽  
pp. 713-714
Author(s):  
S. A. Kutuzov
Keyword(s):  
Mutual Interaction ◽  
Component Model ◽  
Model Parameters ◽  
Interval Method ◽  
Two Component ◽  
The Galaxy ◽  
Galactic Model

The interval method of estimating model parameters (MPs) for the Galaxy was suggested earlier (Kutuzov 1988). Intervals are proposed to be used both for observational estimates of galactic parameters (GPs) and for the values of MPs. In this work we consider a model as a tool for studying mutual interaction of GPs. Two-component model is considered (Kutuzov, Ossipkov 1989). We have to estimate the array P of eight MPs.

scholarly journals A Two‐Component Model for the Light Curves of Hypernovae

2003 ◽  
Vol 593 (2) ◽  
pp. 931-940 ◽  
Author(s):  
Keiichi Maeda ◽  
Paolo A. Mazzali ◽  
Jingsong Deng ◽  
Ken’ichi Nomoto ◽  
Yuzuru Yoshii ◽  
...  
Keyword(s):  
Light Curves ◽  
Component Model ◽  
Two Component
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