The Chinese oil futures volatility: Evidence from high-low estimator information

Abstract

This paper mainly investigates whether the high-low estimator has valuable information to predict the Chinese oil futures volatility. The results show that the high-low estimator constructed based on daily prices contains useful information to predict the Chinese oil futures volatility. Moreover, adding regime switching to the models is helpful to improve forecasting accuracy, especially combining regime switching and the high-low estimator. This paper tries to provide new evidence for Chinese oil futures volatility prediction.