Forecasting Realized Volatility of Agricultural Commodities
Stavros Degiannakis (),
George Filis (),
Tony Klein and
Thomas Walther ()
MPRA Paper from University Library of Munich, Germany
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.
Keywords: Agricultural Commodities; Realized Volatility; Median Realized Volatility; Heterogeneous Autoregressive model; Forecast. (search for similar items in EconPapers)
JEL-codes: C22 C53 Q02 Q17 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-agr, nep-for, nep-ore and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:96267
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