# Influencing Factors Analysis of Crude Oil Futures Price Volatility Based on Mixed-Frequency Data
## 4 Variables and Data Description
### Analysis of the Single-Factor Associative Effect of Level and Fluctuation
#### 5.2.2 Analysis of the Combined Effect of High-Frequency Variables  
Analysis of high-frequency variables is shown in Tables 9 and 10. The estimated results according to Table 10 are discussed below:  
1 The mean values of H, BIC, and LLC of the combined effect model of high-frequency factors are 0.0182, \(-\)7.0298, and \(-\)344.15, respectively. It can be seen that, though the H value of the high-frequency factor combination effect model is higher than that of the single-level horizontal effect model and the volatility effect model, the BIC and LLC indicators outperform the single-level model. In addition, the MAE and RMSE values are basically equal. Therefore, as a whole, the combined effect model significantly outperforms the horizontal effect model and the volatility effect model. 2 Combining the stratification research results of the level effect and the volatility effect of each low-frequency factor, as well as the combination research results of the level effect and the volatility effect: on the one hand, except for OI, the direction of the horizontal effect and the volatility effect of each high-frequency factor has not changed; on the other hand, from the perspective of significance, due to the possible correlation between the level effect and the volatility effect of each factor, the other three types of high-frequency factors, except for V and OI, have changed in the significance of the level effect or volatility effect. 3 From the perspective of high-frequency factors in the market: The high-frequency factor that has a significant and stable impact on the volatility of Brent crude oil futures is trading volume. The impact of open interest is not significant, and the result of the horizontal effect is unstable. However, the position level effect is positive during portfolio analysis, which is more in line with theory and practice. In regards to the comprehensive trading volume and open interest, the level value and volatility of high-frequency factors in the market has a positive effect on the volatility of Brent crude oil futures. \(\mathfrak{\mathfrak{\mathfrak{\mathfrak{\mathfrak{\mathfrak{\mathfrak{\mathfrak{\mathfrak{ \mathfrak{\mathfrak{\mathfrak{\mathfrak{\mathfrak{\mathfrak{\mathfrak{\mathfrak{\mathfrak}}}}}}}}}}}}}}\) The signs of the parameters of the combined effects of the high-frequency off-field factors are consistent with the results of the hierarchical analysis, but the significance of the parameters is different. The DI volatility effect changed from insignificant to a 5% significance level, the GP level effect changed from insignificant to a 1% significance level, and the _PS_ level effect changed from significant to insignificant. In contrast, the DI level effect and the volatility effect of GP and PS are stabler. From the estimated results of the combined effect, the level value of GP is positively correlated with the volatility of crude oil futures. As one of the substitutes for crude oil, the higher the price of natural gas, the greater the market demand for natural gas or the decrease in supply, which will cause a change in the price of crude oil. The volatility of natural gas prices (up or down) is positively correlated with the volatility of crude oil futures prices. After considering the level effect of DI, the volatility effect  
\begin{table \begin{tabular}{c c c c} \hline \hline \multirow{2}{*}{**Index Mean**} & \multicolumn{2}{c}{**Single Level Effect Model**} & \multicolumn{2}{c}{**Single Volatility Model**} & \multicolumn{2}{c}{**Combined Effect Model of Level and Volatility**} \\ \hline BIC & \(-7.0226\) & \(-7.0230\) & \(-7.0298\) \\ LLH & \(-5280.11\) & \(-5333.10\) & \(-5344.15\) \\ H & \(0.0174\) & \(0.0177\) & \(0.0182\) \\ MAE & \(0.0005\) & \(0.0005\) & \(0.0005\) \\ RMSE & \(0.0008\) & \(0.0008\) & \(0.0008\) \\ \hline \hline \end{tabular} 
\end{table}
Table 10: Comparison of the mean value between associative effect model and the single-factor level and fluctuation effect model in the high-frequency factors.