Do intraday data contain more information for volatility forecasting? Evidence from the Chinese commodity futures market

We compare volatility forecasts using daily data and intraday data at different frequencies from the Chinese commodity futures market. Focusing on aluminium, copper and fuel oil futures contracts with 3 months to maturity, our empirical results suggest that in the out-of-sample forecasting tests, there is little informational advantage in generating volatility forecasts using intraday data.

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Year of publication:	2015
Authors:	Jiang, Ying ; Liu, Xiaoquan ; Ye, Wuyi
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 22.2015, 3, p. 218-222
Publisher:	Taylor & Francis Journals

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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