Lu Xinjie, Ma Feng, Wang Jiqian, Wang Jianqiong
School of Economics and Management, Southwest Jiaotong University, Chengdu, China.
Energy (Oxf). 2020 Dec 1;212:118743. doi: 10.1016/j.energy.2020.118743. Epub 2020 Sep 1.
This study evaluates whether CBOE crude oil volatility index (OVX) owns forecasting ability for China's oil futures volatility using Markov-regime mixed data sampling (MS-MIDAS) models. In-sample empirical result shows that, OVX can significantly lead to high future short-term, middle-term and long-term volatilities with regard to Chinese oil futures market. Moreover, our proposed model, the Markov-regime MIDAS with including the OVX (MS-MIDAS-RV-OVX), significantly outperforms the MIDAS and other competing models. Unsurprising results further confirm that OVX indeed contain predictive information for oil realized volatility (especially significant and robust in middle-term and long-term horizons) and regime switching is useful to deal with the structural break within the energy market. We carry out economic value analysis and discuss OVX's asymmetric effects concerning different trading hours and good (bad) OVX, and find OVX performs better in day-time trading hours and the good OVX is more predictive for the oil futures RV than the bad OVX. The further discussion also confirms our previous conclusions are robust during the highly volatile period of the COVID-19 pandemic.
本研究使用马尔可夫 regime 混合数据抽样（MS-MIDAS）模型评估芝加哥期权交易所原油波动率指数（OVX）对中国原油期货波动率是否具有预测能力。样本内实证结果表明，OVX 能够显著引领中国原油期货市场未来的短期、中期和长期高波动率。此外，我们提出的模型，即包含 OVX 的马尔可夫 regime MIDAS（MS-MIDAS-RV-OVX），显著优于 MIDAS 和其他竞争模型。不出所料的结果进一步证实，OVX 确实包含了原油已实现波动率的预测信息（在中期和长期范围内尤其显著且稳健），并且 regime 切换有助于应对能源市场内的结构突变。我们进行了经济价值分析，并讨论了 OVX 在不同交易时段以及好（坏）OVX 方面的不对称效应，发现 OVX 在日间交易时段表现更好，并且好的 OVX 对原油期货已实现波动率的预测性比坏的 OVX 更强。进一步的讨论还证实，我们之前的结论在 COVID-19 大流行的高波动时期是稳健的。
