Abstract
AbstractThis paper constructs a China petroleum market volatility (CPMV) tracker based on Chinese newspapers from March 2018 to July 2021 for the first time. Then, we use the Generalized AutoRegressive Conditional Heteroskedasticity mixed‐data sampling (GARCH‐MIDAS) model to explore the explanatory ability of the CPMV tracker, and the results show that compared with other volatility trackers, the CPMV tracker has a superior ability to explain the volatility of Shanghai crude oil futures (SC). Further, we conduct a more detailed analysis of the CPMV tracker, and find that the CPMV tracker can reflect the information and market sentiment of SC, and needs to be taken into consideration when explaining SC volatility.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
