A Comparative Study of VAR Measure Using Different Frequency Data of China’s Fuel Oil Futures Market

Feng Wang

doi:10.4028/www.scientific.net/AMR.361-363.1887

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A Comparative Study of VAR Measure Using Different Frequency Data of China’s Fuel Oil Futures Market
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HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 361-363A Comparative Study of VAR Measure Using Different...

A Comparative Study of VAR Measure Using Different Frequency Data of China’s Fuel Oil Futures Market

Abstract:

By using datas of Chinese fuel oil futures market, this pater establishes VAR model based on low frequency, high frequency and ultra-high frequency data, to measure the value at risk, and compares the prediction accuracy of different frequency. The research results show that the high frequency and ultra-high frequency data have better accuracy in the VAR measuring, as they contain more intraday information and can reflect the futures market microstructure better.