THE INFORMATION CONTENT OF OPEN INTEREST FOR THE REALIZED RANGE-BASED VOLATILITY: EVIDENCE FROM CHINESE FUTURES MARKET

Abstract

Purpose - The paper studies the impact of the infroamtion content of open interst on the realized range-based vaolatility of Chinese futures markets.

Methodology- We employ a hybrid range-based estimator to measure the integrated variance in the heterogeneous autoregressive (HAR) model, which also incorporates the variable of open interest into the HAR model on index futures prices of China Securities Index (CSI) 300.

Findings- Our findings demonstrate that the variable of open interest has a significant explanatory power with regard to the future realized volatility of the CSI 300 index futures.

Conclusion- The modified model enhances volatility forecasting performance, thereby indicating it has more accurate predictive power. Our results provide supports for the implication of the sequential information arrival hypothesis.

Keywords

• Volatility forecasting,HAR-RRV model,realized range-based tripower variance,CSI 300 futures

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