Time-varying risk analysis for commodity futures
Mobeen Ur Rehman,
Peterson Owusu Junior,
Nasir Ahmad and
Xuan Vinh Vo
Resources Policy, 2022, vol. 78, issue C
Our work presents risk analysis for twelve major global commodity futures during the financial crises and post-crisis period. We perform in-sample and out-of-sample risk analysis which includes equal predictive accuracy model and univariate GAS models for during and post-crisis periods. We also perform a backtesting procedure for providing better information about the predictive strength. We report that the models of all commodities show equal predict accuracy except for Gold whose models exhibit differing predictive accuracies. Among all models, ALD appears as best fitted for Natural Gas, Crude Oil-WTI, Gold, Silver, Aluminum, and Zinc under crises (Eurozone and global financial crises) and post-crisis period. However, SNORM performs best for Diesel and Natural Gas under crises and post-crisis period, respectively. Our paper entails implications for policymakers and investors.
Keywords: Commodities; Risk analysis; Back-testing; Time-varying analysis (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:78:y:2022:i:c:s030142072200349x
Access Statistics for this article
Resources Policy is currently edited by R. G. Eggert
More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().