# Influencing Factors Analysis of Crude Oil Futures Price Volatility Based on Mixed-Frequency Data
## 4 Variables and Data Description
### Variable Definition  
The volatility of crude oil futures prices refers to the rise and fall of crude oil futures prices within a certain period. The study of international crude oil price fluctuations should be based on the study of volatility factors, and the volatility effect which is the volatility risk of price returns should be further studied. At present, in the international crude oil pricing system, Brent crude oil futures and the Brent crude oil spot market have the most significant influence. About 70% of the crude oil spot transaction price reference is Brent crude oil. Two-thirds of the global crude oil market sets the price of Brent crude oil as pricing benchmarks, including China's refined oil price reference mechanism. (1) Volatility variablesThe paper selects Brent light crude oil futures (Brent) (USD/barrel), one of the most important international crude oil futures, as the representative of international crude oil futures. The data came from the website of the US Department of Energy Information Administration (EIA, [[https://www.eia.doe.gov](https://www.eia.doe.gov)]([https://www.eia.doe.gov](https://www.eia.doe.gov))). The daily closing price of Brent is used to construct the volatility indicator of the oil market, and the logarithmic return is taken as the explained variable (RF). The variable range is from January 2008 to December 2017, including multiple stages of the international crude oil spot price surge, plummet, recovery, high rise, and continuous decline in the past 10 years, which makes the research conclusions credible. Regarding the choice of low-frequency and high-frequency explanatory variables, three aspects are mainly considered: theoretical relevance, existing literature practices, and data availability. (2) Low-frequency explanatory variables  
OPEC crude oil production (OPEC) and OECD crude oil consumption (OECD) were selected to represent crude oil supply and crude oil consumption demand, respectively [48; 49]; US crude oil commercial inventory (Inventory, hereinafter referred to as US crude oil inventory) was selected to represent crude oil inventory level [50]; Australia's Newcastle Port Power Coal spot offshore price (Cspp, hereinafter referred to as coal price) and the Henry Hub natural gas spot price (GasSpotPrice, hereinafter referred to as natural gas price) were selected to represent alternative energy sources as explanatory variables [51]; WTI crude oil noncommercial arbitrage holdings (Wtioi, hereinafter referred to as noncommercial Sexual arbitrage positions) represent speculation as an explanatory variable [52]. Among the above variables, data on US crude oil inventories, OPEC crude oil production, OECD crude oil consumption, and Henry Hub natural gas spot price data came from the US Department of Energy Information Administration (EIA) website. The FOB (Free On Board) spot data of thermal coal of Australia's Newcastle Port and the WTI crude oil noncommercial arbitrage holdings are derived from Wind Database ([[https://www.wind.com.cn](https://www.wind.com.cn)]([https://www.wind.com.cn](https://www.wind.com.cn))). The low frequency indicators are all monthly data, and the interval is from January 2008 to December 2017. (3) High-frequency explanatory variables  
In the process of selecting explanatory variables, in addition to considering low-frequency variables, high-frequency variables (daily data) are also considered in order to increase the sufficiency of the explanation. It needs to be pointed out that high frequency and low frequency are relative concepts, not absolute. Considering the relevance of the indicators and the availability of data, we selected the closing price of the US dollar index [53], the trading volume of Brent crude oil futures [54], the open interest of Brent crude oil futures (empty volume) [55], the Henry Hub Natural Gas Spot Price (Dollars per Million Btu) [32], and the Europe Brent Spot Price FOB as explanatory variables [56].