Intraday Periodicity and Volatility Forecasting: Evidence from Indian Crude Oil Futures Market

B.B. Chakrabarti and Vivek Rajvanshi

Journal of Emerging Market Finance, 2017, vol. 16, issue 1, 1-28

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

Keywords: Cubic spline; FFF; crude oil futures; high frequency; volatility forecasting (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0972652716686207 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:16:y:2017:i:1:p:1-28

DOI: 10.1177/0972652716686207

Access Statistics for this article

More articles in Journal of Emerging Market Finance from Institute for Financial Management and Research
Bibliographic data for series maintained by SAGE Publications ().