Please use this identifier to cite or link to this item: https://ir.iimcal.ac.in:8443/jspui/handle/123456789/952
Title: Intraday Periodicity and Volatility Forecasting: Evidence from Indian Crude Oil Futures Market
Authors: Chakrabarti, Binay Bhushan
Rajvanshi, Vivek
Keywords: Crude oil futures
Cubic spline
FFF
High frequency
Volatility forecasting
Issue Date: 2017
Publisher: SCOPUS
Journal of Emerging Market Finance
Sage Publications India Pvt. Ltd
Series/Report no.: 16(1)
Abstract: We estimate intraday periodicities in return volatility by implementing two time series procedures�flexible Fourier form and cubic spline. We use intraday data for more than five years for crude oil futures contracts traded at the Multi Commodity Exchange India Limited. Filtration of the intraday periodicities from the raw returns reveals long-run dependence in volatility. We observe the presence of recurring and consistent intraday patterns in return volatility. Further, we find that adjustment for the intraday periodicity in return volatility improves forecasting performance. Our results are robust after controlling for the scheduled macroeconomic announcements. JEL Classification: C14, C22, G10 � 2017, � 2017 Institute of Financial Management and Research.
Description: Chakrabarti, Binay Bhushan, Indian Institute of Management Calcutta, Joka, Kolkata, WB, India; Rajvanshi, Vivek, Indian Institute of Management Calcutta, Joka, Kolkata, WB, India
ISSN/ISBN - 09726527
pp.1-28
DOI - 10.1177/0972652716686207
URI: https://www.scopus.com/inward/record.uri?eid=2-s2.0-85016248374&doi=10.1177%2f0972652716686207&partnerID=40&md5=48269998b3dbe958e5432bdbc2cc479e
https://ir.iimcal.ac.in:8443/jspui/handle/123456789/952
Appears in Collections:Finance and Control

Files in This Item:
There are no files associated with this item.


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.