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عنوان فارسی مقاله:
پیش بینی نوسانات بازار نفت خام: یک سوئیچینگ رویکرد نوسانات چندفراکتالی مارکوف
عنوان انگلیسی مقاله:
Forecasting crude oil market volatility: A Markov switching multifractal volatility approach
سال انتشار : 2016
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بخشی از مقاله انگلیسی:
4. Empirical results
4.1. In-sample performance We describe and forecast oil return volatility dynamics using a Markov switching multifractal (MSM) volatility model. Table 2 reports the estimation results of MSM(k¯) for WTI and Brent oil price returns, where the hierarchical level k¯ varies from 1 to 10. We find that MSM(7) (128 regimes) and MSM(10) (1024 regimes) fit WTI oil returns almost equally well, and better than the other MSM models, as is evidenced by the higher log-likelihoods of these two models. Meanwhile, MSM(6) (64 regimes) fits Brent returns best. We compare the in-sample performances of MSM with those of several popular GARCH-class models.4 Table 3 shows the results based on Vuong’s (1989) test. We choose MSM(10) and MSM(6) as benchmarks for modeling the WTI and Brent oil return volatilities, respectively, because they fit the data better than the other MSM models. The test statistics indicate that the selected MSM models fit the oil return data better than the GARCH-class models at the 1% significance level.
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کلمات کلیدی:
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