E3S Web Conf.
Volume 251, 20212021 International Conference on Tourism, Economy and Environmental Sustainability (TEES 2021)
|Number of page(s)||4|
|Section||Analysis of Energy Industry Economy and Consumption Structure Model|
|Published online||15 April 2021|
Probing Trading Activities in Commodity Futures Market via Volatility Modeling
1 Dalian No.24 High School Dalian, China
2 Chongqing Nankai Secondary School Chongqing, China
a Corresponding author: firstname.lastname@example.org
In the context of the great fluctuation of the global financial market, it is particularly important to forecast the changing futures market. Inspired by the utilization of the Heterogeneous Autoregressive model of the Realized Volatility (HAR-RV) model in price volatility forecasting, the parameters in this model could be a fair indicator of trading activities in the market. To test this hypothesis, this HAR-RV model is applied to analyze some representative commodities futures in China. The HAR-RV model is created to forecast the future volatility patterns using existed fluctuations. We used the least square method to do the regression analysis and used the volatility of a day, a week, and a month as the variables to get the degree of influence of each variable on the future volatility, namely. Thus, we can tell whether the price of a futures commodity is more affected by short-term fluctuations or long-term fluctuations by comparing different. Preliminary results show different patterns between iron ore and soybean meal futures models, pinpointing the trading frequencies in the corresponding markets. The price of iron ore futures is largely influenced by weekly volatility, while the price of soybean meal futures is affected significantly by monthly fluctuation.
© The Authors, published by EDP Sciences, 2021
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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