The paper investigates the impact of jumps in forecasting co-volatility in the presence of leverage effects. We modify the jump-robust covariance estimator of Koike (2016), such that the estimated matrix is positive definite. Using this approach, we can disentangle the estimates of the integrated co-volatility matrix and jump variations from the quadratic covariation matrix. Empirical results for daily crude oil and gold futures show that the co-jumps of the two futures have significant impacts on future co-volatility, but that the impact is negligible in forecasting weekly and monthly horizons.

Additional Metadata
Keywords Commodity Markets, Co-volatility, Forecasting, Jump, Leverage Effects, Realized Covariance, Threshold Estimation.
JEL Time-Series Models; Dynamic Quantile Regressions (jel C32), Models with Panel Data (jel C33), Financial Econometrics (jel C58), Commodity Markets (jel Q02)
Persistent URL
Asai, M, Gupta, R, & McAleer, M.J. (2019). The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. Retrieved from