Research On The Future Markets Volatility Based On High-frequency Intraday Returns Pattern

The volatility has been one of the core of the financial theory research, in addition to the futures market is an important part of modern financial markets, the futures market volatility is an important part of the theory of financial markets research. China’s futures market has over20years of history, has experienced a lot of stages, since China’s accession to the WTO, the financial markets are constantly opening up, reform and innovation of the futures markets and regulators have never stopped. Futures market due to its own characteristics of high-risk, volatility forecast is very important. There must be a large deviation using low frequency data to forecast volatility. Realized Volatility of HAR-RV-CJ model can play a significant role in the application of high-frequency data, will jump and volatility separate forecast volatility will provide better tools. Futures market, the price jump in the possibility of greatly increased due to the smaller volume of transactions in the market, therefore, whether regulatory authorities and investors jumping accurately determine naturally become very important.From an empirical point of view we analyze the realized volatility of the futures market and compare the predicted effect of HAR-RV-CJ model. Further improve the judgment of the jump, jumping judgment refinement to the intra-day trading period, and according to the distribution characteristics of the days of price fluctuations, for jumping judgment to make changes in the threshold processing is no longer based on the same criterion, thereby making the jump to determine more precise, more accurate forecasts of volatility. Quantization direction of the futures market, investors’ judgment on the state of the market, and the market risk management contributed to the study.