Asymmetric Information and Volatility Forecasting in Commodity Futures Markets

作者：Liu, Qingfu; Wong, Ieokhou; An, Yunbi^*; Zhang, Jinqing

来源：Pacific-Basin Finance Journal, 2014, 26: 79-97.

DOI：10.1016/j.pacfin.2013.10.007

• Asymmetric characteristics
• Threshold stochastic volatility model
• Bayesian MCMC
• Volatility forecasting
• Commodity futures markets

This paper investigates the asymmetric characteristics of returns and volatilities of various Chinese commodity futures within the threshold stochastic volatility (THSV) framework with various distribution assumptions. To gauge the capabilities of THSV models in volatility forecasting, the values-at-risk (VaRs) for both long and short positions in these futures are estimated and analyzed. We demonstrate that the asymmetric THSV model outperforms the corresponding symmetric SV model, and that the THSV models with non-normal distributions can better fit the futures data than the standard THSV model. Our results clearly indicate that positive and negative news have asymmetric effects on the mean, variance, and variance persistence of all futures under consideration. We also document that modeling both the mean and variance asymmetries and the fat-tailed feature in return distributions is particularly important to accurately forecast the VaRs for long and short trading positions in commodity futures.

• 出版日期2014-1
• 单位复旦大学