Forecasting Commodity Price Volatility with Internet Search Activity

Arabinda Basistha, Alexander Kurov and Marketa Halova Wolfe

No 285827, 2015 Conference, April 20-21, 2015, St. Louis, Missouri from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: Commodity prices are volatile. Forecasting the volatility has been notoriously difficult. We propose using Internet search activity to forecast commodity futures price volatility. We show that Google search volume improves forecasts of volatility both in-sample and out-of-sample in all commodity categories (energy, metal and agriculture).

Keywords: Marketing (search for similar items in EconPapers)
Date: 2015-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:n13415:285827

DOI: 10.22004/ag.econ.285827

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