Volatility Forecasting of Copper Futures Based on HAR-RV Model

نویسندگان

چکیده

As an important part of the international futures market, copper price prediction is for financial market research. This paper selects high-frequency data every 5 minutes from database and uses HAR-RV model based on realized volatility. By introducing investor sentiment day week effects, we have established three new types non-uniform autoregressive models. Empirical analysis shows that weekly monthly fluctuations prices are relatively small, while daily large. The more accurate when predicting long-term volatility, stability test stable Investor has a negative impact volatility in medium forecasts. Weekend effects forecasts futures. complements existing literature improves ability fluctuations, which very to promote effective hedging, risk transfer, discovery market.

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ژورنال

عنوان ژورنال: BCP business & management

سال: 2022

ISSN: ['2692-6156']

DOI: https://doi.org/10.54691/bcpbm.v26i.2034