Jumps and gold futures volatility prediction

Xiaoqian Li and Xiaoqi Ma

Finance Research Letters, 2023, vol. 58, issue PC

Abstract: This paper mainly checks whether jump component is efficient to predict Chinese gold futures volatility. Based on the high-frequency data, we find jump component can provide valuable information to forecast the volatility of Chinese gold futures market based on the heterogeneous autoregressive-realized volatility model. This paper tries to examine the role of jump in Chinese gold futures market.

Keywords: Jump; Chinese gold futures market; HAR; Volatility forecasting (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008644

DOI: 10.1016/j.frl.2023.104492

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