# 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
Similar to natural gas, coal is also an important substitute for oil. It has a positive impact on the fluctuation of crude oil prices. Due to coal's substitution role for crude oil requires conditions, its advantage of replacing crude oil will not exist when the price of coal gradually increases. Therefore, it can be seen from the estimation results that the impact is not sufficiently significant, the coal price level has which on the fluctuation of crude oil prices in the long run. 4 Crude oil noncommercial arbitrage holdings represent speculative factors in the crude oil futures market. From the estimation results, the coefficient \(\theta_{l}\) of Wtioi is greater than zero, but the statistics are not significant, indicating that speculative factors are not important factors for international oil price fluctuations for the global crude oil market. 5 Unlike others, the coefficient \(\theta_{l}\) of OPEC crude oil production is less than zero and statistically significant, indicating that the increase in OPEC crude oil production will weaken the volatility of Brent crude oil futures. OPEC crude oil production, as the main supplier of the oil market, has a significant impact on price fluctuations in the international crude oil market. When the OPEC crude oil production value is high, the global crude oil market is adequately supplied, and international oil prices which has the effect of stabilizing oil prices will be more stable. Based on the above analysis, in terms of horizontal effects, crude oil production, consumption, inventory, and natural gas prices are the main factors that have a major impact on the fluctuation of Brent crude oil futures prices after the financial crisis in addition to coal spot prices and speculative factors. (2) Level effect analysis of high-frequency variables  
In the process of selecting explanatory variables, in addition to considering low-frequency variables, the influence of high-frequency variables is also considered in order to increase the sufficiency of the explanation. This article combines indicator correlation and data availability and selects five high-frequency variables including the closing price of the US dollar index (USD), Brent crude oil futures trading volume (10,000 lots), Brent crude oil futures open interest (short orders) (10,000 lots), Henry Hub Natural Gas Spot Price (Dollars per Million Btu), and Europe Brent Spot Price FOB (Dollars per Barrel) as explanatory variables. Among them, the US dollar index, Brent crude oil spot prices, and natural gas prices represent high-frequency factors outside the market; trading volume and open interest represent high-frequency factors on the market. From the estimated results in Table 4, we can see the following:  
1 From the point of view of H value: the H value of the Brent crude oil spot price (PS) model is the lowest, at 0.0111, and the H value of the natural gas price (GS) model is the highest, at 0.0195, while that of the Brent crude oil futures volume (V) and the dollar index (the H value of DI) and Brent crude oil futures' open interest (OI) is 0.0188. Thus, the spot price model is relatively more stable, while the natural gas price model is the worst. 2 Based on MAE and RMSE criteria, the estimation effect of each model is basically the same. 3 The BIC and LLH values of the Brent crude oil futures trading volume (V), US dollar index (DI), and Brent crude oil futures open interest (OI) are better than other variables. Judging from the \(\theta_{l}\) coefficient estimation results in Table 4, the following can be concluded:  
1 The \(\theta_{l}\) values of the Brent crude oil futures trading volume and Brent crude oil spot price is statistically significant. Other statistics such as the Brent crude oil futures open interest, the US dollar index, and the natural gas daily price are not statistically significant. The \(\theta_{l}\) values of the spot price, the open interest, and the dollar index are negative, and the \(\theta_{l}\) values of the other two high-frequency factors are positive.