英文标题：
《Forecasting crude oil market volatility: can the Regime Switching GARCH
model beat the single-regime GARCH models?》
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作者：
Yue-Jun Zhang, Ting Yao, Ling-Yun He
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最新提交年份：
2015
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英文摘要：
In order to obtain a reasonable and reliable forecast method for crude oil price volatility, this paper evaluates the forecast performance of single-regime GARCH models (including the standard linear GARCH model and the nonlinear GJR-GARCH and EGARCH models) and the two-regime Markov Regime Switching GARCH (MRS-GARCH) model for crude oil price volatility at different data frequencies and time horizons. The results indicate that, first, the two-regime MRS-GARCH model beats other three single-regime GARCH type models in in-sample data estimation under most evaluation criteria, although it appears inferior under a few of other evaluation criteria. Second, the two-regime MRS-GARCH model overall provides more accurate volatility forecast for daily data but this superiority dies way for weekly and monthly data. Third, among the three single-regime GARCH type models, the volatility forecast of the nonlinear GARCH models exhibit greater accuracy than the linear GARCH model for daily data at longer time horizons. Finally, the linear single-regime GARCH model overall performs better than other three nonlinear GARCH type models in Value-at-Risk (VaR) forecast.
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中文摘要：
为了获得合理可靠的原油价格波动预测方法，本文评估了单区GARCH模型（包括标准线性GARCH模型、非线性GJR-GARCH和EGARCH模型）和双区马尔可夫区切换GARCH（MRS-GARCH）模型在不同数据频率和时间范围下对原油价格波动的预测性能。结果表明，第一，在大多数评估标准下，两区MRS-GARCH模型在样本数据估计方面优于其他三个单区GARCH模型，尽管在其他一些评估标准下，它似乎较差。第二，总体而言，双机制MRS-GARCH模型为每日数据提供了更准确的波动性预测，但这种优势在每周和每月数据中消失了。第三，在三种单制度GARCH模型中，非线性GARCH模型的波动率预测比线性GARCH模型在更长时间范围内的日数据波动率预测更准确。最后，在风险价值（VaR）预测中，线性单制度GARCH模型总体表现优于其他三种非线性GARCH模型。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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