Forecasting realized volatility of agricultural commodities

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

Beitragende

  • Stavros Degiannakis - , Panteion University of Social and Political Sciences (Autor:in)
  • George Filis - , Bournemouth University (Autor:in)
  • Tony Klein - , Queen's University Belfast (Autor:in)
  • Thomas Walther - , Fakultät Wirtschaftswissenschaften, Utrecht University (Autor:in)

Abstract

We forecast the realized and median realized volatility of agricultural commodities using variants of the heterogeneous autoregressive (HAR) model. We obtain tick-by-tick data on five widely-traded agricultural commodities (corn, rough rice, soybeans, sugar, and wheat) from the CME/ICE. Real out-of-sample forecasts are produced for between 1 and 66 days ahead. Our in-sample analysis shows that the variants of the HAR model which decompose volatility measures into their continuous path and jump components and incorporate leverage effects offer better fitting in the predictive regressions. However, we demonstrate convincingly that such HAR extensions do not offer any superior predictive ability in their out-of-sample results, since none of these extensions produce significantly better forecasts than the simple HAR model. Our results remain robust even when we evaluate them in a Value-at-Risk framework. Thus, there is no benefit from including more complexity, related to the volatility decomposition or relative transformations of the volatility, in the forecasting models.

Details

OriginalspracheEnglisch
Seiten (von - bis)74-96
Seitenumfang23
FachzeitschriftInternational Journal of Forecasting
Jahrgang38
Ausgabenummer1
PublikationsstatusVeröffentlicht - 1 Jan. 2022
Peer-Review-StatusJa

Externe IDs

ORCID /0000-0003-4359-987X/work/142255152

Schlagworte

Schlagwörter

  • Agricultural commodities, Forecast, Heterogeneous autoregressive model, Median realized volatility, Realized volatility

Bibliotheksschlagworte