Realized Volatility Dynamics in Commodity Futures Markets : Application of the Long Memory Model

• 발행기관: 한국자료분석학회
• 저자명: 송정석(Jeongseok Song)
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.10 No.1, 45~62쪽, 전체 18쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2008.02.28

영문 초록

Realized volatility has become a recently popular measure for asset return risk management area since the measure is simple to calculate and is known to describe the volatility dynamics well. In this paper, we apply the realized volatility measure to commodity futures market and study the volatility dynamics by using the ARFIMA model. In addition, we consider information flow and time-to-maturity effect, a well known issue for the commodity markets, and examine the dependency structures between the realized volatilities for different commodity futures. Our finding is that the realized volatility for the commodity futures exhibits the long memory property, and the effect of information flow on the realized volatility is remarkable.

목차

1. Introduction

2. The Long Memory Property and Distribution for the Realized Volatility

3. Economic Issues for the Realized Volatility

4. Conclusion

4. Conclusion

키워드

realized volatility commodity futures long memory information flow