EconPapers    
Economics at your fingertips  
 

Structural breaks and volatility forecasting in the copper futures market

Xu Gong and Boqiang Lin

Journal of Futures Markets, 2018, vol. 38, issue 3, 290-339

Abstract: This paper examines whether structural breaks contain incremental information for forecasting the volatility of copper futures. Considering structural breaks in volatility, we develop four heterogeneous autoregressive (HAR) models based on classical or latest HAR‐type models. Subsequently, we apply these models to forecast volatility in the copper futures market. The empirical results reveal that our models exhibit better in‐sample and out‐of‐sample performances than classical or latest HAR‐type models. This suggests that structural breaks contain incremental prediction information for the volatility of copper futures. More importantly, we argue that considering structural breaks can improve the performances of most of existing HAR‐type models. Highlights There are many structural break points in return volatility of the copper futures. We propose 12 new heterogeneous autoregressive models. Our models outperform the existing heterogeneous autoregressive models. Structural breaks contain additional ex ante information for volatility forecasting. The ex ante information is obvious in forecasting mid‐ and long‐term volatilities.

Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (28) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1002/fut.21867

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:wly:jfutmk:v:38:y:2018:i:3:p:290-339

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2020-09-17
Handle: RePEc:wly:jfutmk:v:38:y:2018:i:3:p:290-339