Economics at your fingertips  

Volatility forecasting using high frequency data: The role of after-hours information and leverage effects

Xuehong Zhu, Hongwei Zhang and Meirui Zhong

Resources Policy, 2017, vol. 54, issue C, 58-70

Abstract: This investigation extends the HAR model to include the role of after-hours information and leverage effects to forecast daily volatility of the Chinese non-ferrous metals futures market. Furthermore, volatility clustering in the residuals of the volatility model is investigated. In addition to the usual leverage effects, the findings indicated new insights into additional leverage effects, which are captured by negative overnight returns and negative lunch-break returns. Moreover, after-hours information has a highly in-sample explanatory and there is no risk–return trade-off in the Chinese non-ferrous metals futures market. One-step ahead forecasts are investigated and the results indicated that the introduction of after-hours information and leverage effects in the HAR model exhibit better predictive power. Finally, the results are robust for various sampling frequencies. Our findings have important significance for investors and policy makers and will elucidate further research directions.

Keywords: Non-ferrous metals futures; Volatility forecasting; After-hours information; Leverage effects; Volatility clustering (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

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:

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Series data maintained by Dana Niculescu ().

Page updated 2017-12-16
Handle: RePEc:eee:jrpoli:v:54:y:2017:i:c:p:58-70