A cross-market comparative analysis on structural breaks of intraday volatility in China's crude oil futures

Structural breaks in crude oil futures volatility present an enduring challenge to financial market stability and policy effectiveness. To identify structural breaks in INE and analyze its differential responses to extreme shocks versus WTI and Brent, this paper develops a functional change point analysis framework. We construct intraday volatility curves using a functional volatility model and identify mean change points through a dependent functional mean change point test. Additionally, by applying the functional asymmetric coefficient test, we detect coefficient change points where volatility model parameters shift. We utilize the FHAR model to analyze how investor behavior asymmetrically affects intraday volatility across different markets. Results indicate that: (1) The INE exhibits 8 mean change points and 3 coefficient change points, substantially fewer than those in WTI and Brent. (2) INE's structural breaks are clustered post-2020, linked to domestic policies and Asia-Pacific supply-demand shifts. WTI and Brent's breaks are concentrated during 2018–2020, responding synchronously to global shocks like OPEC + decisions. (3) Under different market regimes, INE features “medium- and long-term dominant shifts, short-term initial significance”, whereas WTI and Brent are characterized by “prominent short-term driving dynamics, weak long-term impacts”. (4) During the COVID-19 shock, short-term investors amplified WTI and Brent volatility; medium-term investors exacerbated volatility only in INE, while long-term investors stabilized all three markets. INE exhibits greater structural robustness, with fewer breaks than WTI and Brent, stemming from distinctive risk control mechanism. This validates tailored regulation's stabilizing role and offers key insights to improve risk mechanisms and cross-market management.