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    ASIA unversity > 管理學院 > 財務金融學系 > 會議論文 >  Item 310904400/38927

    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/38927

    Title: The Impact of the Open Interest on the Realized Volatility: Evidence form the Oil and Gas Futures
    Authors: Tseng, Tseng-Chan
    Contributors: Department of Finance at the Nan Kai University
    Keywords: HAR-RRV model;Realized range-based variance;Oil and gas futures;Open interest;Futures markets.
    Date: 2012-05-01
    Issue Date: 2013-07-26 11:23:05 (UTC+8)
    Publisher: Department of Finance at the Nan Kai University
    Abstract: In this study, I use intraday data on oil and gas futures contracts, and then analyze the
    data by incorporating open interest variable into the ‘heterogeneous auto-regressive’
    (HAR) model of realized volatility, which is measured by range-based estimation
    within intraday high-low prices. Our findings demonstrate that the open interest
    provides significant explanation for futures realized volatility. I also demonstrate that
    the modified model do enhance the forecasting performance of volatility, indicating
    that the modified model has more accurate predictive capability than the benchmark
    model, with the results holding for both the in-sample and out-of-sample
    Relation: 2012中部學術財金研討會 論文發表
    Appears in Collections:[財務金融學系] 會議論文

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