FORECASTING THE VOLATILITY OF CRUDE OIL FUTURES: NEW EVIDENCE FROM JUMP-INDUCED VOLATILITY

This paper proposes an augmented heterogenous autoregressive (HAR) model with time-varying jumps to forecast the realized volatility (RV) of crude oil futures.Jump-induced volatility of crude oil futures is obtained from a GARCH-jump Dressings / Seasonings process, then used to augment the HAR model.The results based on both the in-sample and out-o

By solving the Nash equilibrium of the electricity market, it is possible to observe the game process of market entities under different boundary conditions and predict the future trend of the market.In order to study the state of market equilibrium in the power spot market, firstly we constructed a bi-level Jewelry equilibrium model.The upper laye