# Influencing Factors Analysis of Crude Oil Futures Price Volatility Based on Mixed-Frequency Data
## 4 Variables and Data Description
### Analysis of the Single-Factor Hierarchical Effect of Level and Fluctuation
#### 5.1.1 Level Effect of Single Factor
\begin{table}
\begin{tabular}{c c c c c c} \hline \hline
**Variable** & **Inventory** & **OPEC** & **OECD** & **GasSpot Price** & **Cspp** & **Wtioi** \\ \hline \(\mu\) & \(0.0001\) & \(0.0001\) & \(-2.295\times\) & \(0.0001\) & \(0.0001\) & \(0.0001\) \\  & [0.6055] & [0.8525] & [0.8732] & [0.8595] & [0.9288] & [0.8473] \\ \(\alpha\) & \(0.0507\) *** & \(0.0368\) *** & \(0.0456\) & \(0.0373\) *** & \(0.0427\) ** & \(0.0334\) \\  & [0] & [0] & [0] & [.0000] & [0.0193] & [0.6205] \\ \(\beta\) & \(0.9493\) *** & \(0.9604\) *** & \(0.9486\) & \(0.9598\) *** & \(0.9547\) *** & \(0.9665\) *** \\  & [0] & [0] & [0] & [0] & [0] & [0] \\ \(m\) & \(-6.8425\) *** & \(-5.6824\) *** & \(-25.7218\) & \(-9.8229\) *** & \(-9.4151\) * & \(-14.3512\) *** \\  & [0] & [0] & [0] & [0] & [0.0764] & [0] \\ \(\theta_{l}\) & \(0.0027\) *** & \(-0.0001\) *** & \(0.3463\) *** & \(0.0859\) *** & \(0.5520\) & \(0.0001\) \\  & [0.0013] & [0] & [0] & [0.0088] & [0.6574] & [0.4744] \\ \(\omega_{l}\) & \(11.1236\) *** & \(1.0009\) & \(12.2889\) & \(1.0788\) & \(18.651\) *** & \(2.9059\) \\  & [0] & [0.8049] & [0] & [0.7594] & [0.0000] & [0.8192] \\ \(g_{0}\) & \(0.0044\) * & \(1.5761\) & \(1.46719\) & \(1.1479\) & \(0.8735\) & \(162.3080\) * \\  & [0.2016] & [0.1654] & [0] & [0.1408] & [0.8407] & [0.0631] \\ \(\eta\) & \(6.4348\) & \(6.4259\) & \(6.4214\) & \(6.4382\) & \(6.4193\) & \(6.4290\) \\  & [0] & [0] & [0] & [0] & [0.371422] & [0] \\ \(\lambda\) & \(-0.0403\) & \(-0.0402\) & \(-0.0401\) & \(-0.0399\) & \(-0.0406\) & \(-0.0400\) \\  & [0.2115] & [0.2152] & [0.2148] & [0.2181] & [0.2356]From the estimated results in Table 3, we can see the following:  
1 From the point of view of H value: based on the level effect model of US crude oil inventory (Inventory) and Australia's Newcastle port spot offshore price of thermal coal (Cspp), the H value is 0.0182 and 0.0155, respectively, which is closer to 1%. That is to say, the level effect model based on the above two variables is more stable. The H value of WTI crude oil noncommercial arbitrage holdings is the largest, and the estimation result is poor. 2 From the perspective of BIC value, the BIC value of Inventory, GasSpotPrice, and Cspp models is the smallest. From the perspective of LLH (Log likelihood), the Inventory and GasSpotPrice models have the smallest LLH value, indicating that the Inventory and GasSpotPrice models have improved accuracy and simplicity. From the results of coefficient \(\theta_{l}\) estimation, we can see the following:  
1 The coefficients \(\theta_{l}\) of US crude oil inventory (Inventory), OPEC crude oil production (OPEC), OECD crude oil consumption (OECD), and the Henry Hub natural gas spot price (GasSpotPrice) are statistically significant. The coefficients \(\theta_{l}\) of the FOB spot price of thermal coal in Port Canius, Australia (Cspp) and WTI crude oil noncommercial arbitrage holdings (Wtioi) are not significant. The \(\theta_{l}\) values of the US crude oil inventories, the OECD crude oil consumption, the natural gas spot prices, the spot price of thermal coal at the Port of Cannes, Australia, and the WTI crude oil noncommercial arbitrage positions are greater than zero, while the \(\theta_{l}\) value of OPEC crude oil production is less than zero. 2 The crude oil inventory coefficient is significantly greater than zero, and the US crude oil inventory level is positively correlated with the volatility of crude oil futures prices. Crude oil inventory is a part of the crude oil demand and the potential supply of crude oil next year. The higher its value, the higher the volatility of crude oil futures prices. Similarly, the OECD is the main demand representative of the crude oil market. The increase in OECD crude oil consumption will cause a significant increase in crude oil market volatility, which is consistent with economic theory. 3 As a kind of clean energy, natural gas has a wider scope of promotion. As one of the important substitutes for oil, the increase in natural gas prices is also one of the factors driving the fluctuation of crude oil prices.