Forecasting realized volatility of agricultural commodities
By Stavros Degiannakis *, George Filis, Tony Klein, T. Walther. International Journal of Forecasting, 2020
54 citations recorded by the source corpus.
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 for five widely traded agricultural commodities (Corn, Rough Rice, Soybeans, Sugar, and Wheat) from the CME/ICE. Real out-of-sample forecasts are produced for 1- up to 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 convincingly demonstrate that such HAR extensions do not offer any superior predictive ability in the out-of-sample results, since none of these extensions produce significantly better forecasts compared to the simple HAR model. Our results remain robust even when we evaluate them in a Value-at-Risk framework. Thus, there is no benefit by adding more complexity, related to volatility decomposition or relative transformations of volatility, in the forecasting models.
View Paper: https://www.semanticscholar.org/paper/64673a71cb63c6447c0a880ca775f73a0dfaa89a
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
- Fotios Petropoulos
- Rob J Hyndman
- Nikolaos Kourentzes
- Konstantinos Nikolopoulos
- Evangelos Spiliotis
- Spyros Makridakis
- Vassilios Assimakopoulos
- Christoph Bergmeir
Citations in the corpus
- Forecasting: theory and practice (2020, background): “al. (2017) start a mini-stream on volatility forecasting on agricultural series followed among others by the work of Luo et al. (2019) and of 155This subsection was written by Dimitrios Thomakos. 150 Degiannakis et al. (2020). de Nicola et al. (2016) examine the co-movement of energy and agricultura”