Forecasting copper futures volatility under model uncertainty

Gang Li and Yong Li ()

Resources Policy, 2015, vol. 46, issue P2, 167-176

Abstract: In practice, volatility forecasting under model uncertainty is an important issue. In this paper, the main purpose is to apply the model averaging techniques to reduce volatility model uncertainty and improve volatility forecasting. for the copper futures. Then, various loss functions are employed to assess the forecasting performance. The empirical study results show that the model averaging methods can significantly reduce the uncertainty of forecast. Furthermore, the OLS time-varying weighted model averaging method can achieve the smallest forecasting error and significantly reduce the over-prediction percentage.

Keywords: Copper futures; Volatility forecast; Model uncertainty; Model averaging; GARCH (search for similar items in EconPapers)
JEL-codes: C52 C53 G17 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:46:y:2015:i:p2:p:167-176

DOI: 10.1016/j.resourpol.2015.09.009

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