Intraday volatility analysis of CSI 300 index futures: a dependent functional data method
| Autor: | Danni Wang, Zhifang Su, Qifang Li |
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| Jazyk: | angličtina |
| Rok vydání: | 2023 |
| Předmět: | |
| Zdroj: | Economic research-Ekonomska istraživanja Volume 36 Issue 1 (online first) |
| ISSN: | 1848-9664 1331-677X |
| Popis: | This study introduces a new volatility model based on dependent functional data to investigate the intraday volatility characteristics of CSI 300 in the context of high-frequency data. The volatility curve is fitted and reconstructed using three methods: functional principal component analysis, Newey-West kernel, and truncationfree Bartlett kernel. We adopt a functional time series approach for short-term dynamic forecasting. The empirical results show that the proposed dependent functional volatility estimation model based on the long-term covariance of the truncated Bartlett kernel can accurately capture the intraday volatility trajectory and outperforms other models in terms of forecast accuracy and profitability. This study improves the volatility-related research methodology, which is conducive to discovering the price formation mechanism of the stock index futures market and improving risk management capabilities. |
| Databáze: | OpenAIRE |
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