A Comparative Study of VAR Measure Using Different Frequency Data of China’s Fuel Oil Futures Market
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.
Qunjie Xu, Honghua Ge and Junxi Zhang
F. Wang "A Comparative Study of VAR Measure Using Different Frequency Data of China’s Fuel Oil Futures Market", Advanced Materials Research, Vols. 361-363, pp. 1887-1891, 2012