# 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
2 Trading volume is a high-frequency factor in the field affecting the market, reflecting market liquidity and trading activity. The trading volume coefficient is greater than zero and statistically significant, indicating that the trading volume on the market is an important factor affecting price fluctuations. However, when the daily trading volume is high, the volatility of Brent crude oil futures prices becomes stronger, and vice versa. Unlike trading volume, Brent crude oil futures open interest has a nonsignificant negative effect on the volatility of Brent crude oil futures. This is consistent with the results of the same frequency analysis. Different from the securities market, open interest is a statistical quantity unique to the futures market, reflecting the flow of funds on and off the market. An increase in open interest indicates that funds have entered the market, and a decrease in open interest indicates that funds have flowed out of the market. At the same time, there is a complicated correspondence between trading volume and open interest. The higher the open interest, the larger the market capital, and the weaker the relative market volatility. 3 The \(\theta_{l}\) value of natural gas price is greater than zero, but it is not statistically significant. The analysis result of the daily price level effect of natural gas is similar to the analysis result of the monthly low-frequency data of natural gas, and both are nonsignificant positive relationships. 4 The \(\theta_{l}\) value of the US dollar exchange rate is less than zero. The US dollar exchange rate represents the price of the US dollar. As a unit of calculation of crude oil futures, it has a certain impact on the price of crude oil. From the estimation results, when the exchange rate of the US dollar decreases, the volatility of oil prices increases as the marked price is only the nominal price of the crude oil, while the actual value of crude oil remains unchanged. When the value of the US dollar decreases, the price of crude oil will increase. When the price of the US dollar increases, the price unit of crude oil will decrease, so it has the effect of stabilizing oil prices. 5 The Brent futures price is representative of the expected Brent spot price, and the spot price is the basis of the futures price. Based on the estimation results, the Brent crude oil spot price income has a significant negative effect on the futures price fluctuation; that is, the spot price is negatively correlated to the volatility of the futures market, especially when the spot price is high, the futures price will also be high, and the relative volatility will be weaker. Therefore, from the analysis results of high-frequency factors, the trading volume in the high-frequency factors on the market and the spot price in the high-frequency factors outside the market have a significant explanatory effect on the price volatility of the Brent crude oil futures market. In addition, based on the estimation results in Tables 3 and 4, the Brent crude oil futures market has a strong GARCH effect. Various GARCH-MIDAS models reflect the adaptability of the mixed level model in describing the fluctuations of the Brent crude oil futures market.