文献类型：期刊文献

英文题名：Realized volatility forecasting and volatility spillovers: Evidence from Chinese non-ferrous metals futures

作者：Wang, Donghua[1];Xin, Yang[1];Chang, Xiaohui[2];Su, Xingze[1]

机构：[1]East China Univ Sci & Technol, Sch Business, 130 Meilong Rd,POB 114, Shanghai 200237, Peoples R China;[2]Oregon State Univ, Coll Business, Corvallis, OR 97331 USA

年份：2021

卷号：26

期号：2

起止页码：2713

外文期刊名：INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS

收录：;WOS:【SSCI(收录号:WOS:000553236300001)】；

基金：National Natural Science Foundation of China, Grant/Award Numbers: 71171083, 71771087

语种：英文

外文关键词：dynamic model averaging; heterogeneous autoregressive model; non-ferrous base metals; realized volatility forecast; shanghai futures exchange; volatility transmission

摘要：We study the prediction of realized volatility of non-ferrous metals futures traded on the Shanghai Futures Exchange from March 2011 to December 2017. A dynamic model averaging model is employed to combine multiple prediction models using time-varying weights based on individual model performance. Empirical results also reveal that models incorporating volatility spillovers across metals are important for forecast combinations, and short-term spillovers have a stronger impact than long-term spillovers. This approach offers the best forecasting performance and allows users to identify the most dominant model at any given time and demonstrate when and how volatility transmission from another metal is valuable for forecasting. We also find evidence of distinct trading behaviours in emerging and developed markets.