Commodities volatility and the theory of storage

Jean-François Carpantier and Arnaud Dufays

Working Papers from HAL

Abstract: One implication of the theory of storage states that commodity price volatility should increase when inventories are low. We document this volatility feature by estimating asymmetric volatility models for 16 commodity return series, on the period 1994-2011 and show how to account for this feature in Value-at-Risk forecasting. Our contribution is threefold: (i) This study is the first to investigate systematically the volatility implication of the theory of storage for a large panel of commodity types (agriculturals, metals, precious metals and tree crops); (ii) Since inventories are hard to measure and define, especially for high frequency data, we use in the volatility model positive return shocks as a new original proxy for inventories; (iii) We finally develop an original asymmetric version of the spline GARCH model and find that the inventory effect remains robust if we allow the unconditional variance to vary over time.

Keywords: asymmetries; commodities; inventory spline GARCH; VaR (search for similar items in EconPapers)
Date: 2012-10
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Published in [Research Report] 2012037, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). 2012

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Commodities volatility and the theory of storage (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-01821149

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().