Forecastability of Agricultural Commodity Futures Realised Volatility with Daily Infectious Disease-Related Uncertainty

Sisa Shiba (), Goodness Aye (), Rangan Gupta and Samrat Goswami ()
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Sisa Shiba: Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa
Goodness Aye: Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa
Samrat Goswami: Department of Rural Management and Development, Tripura University, Suryamaninagar, 799022, Tripura, India

No 202249, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper assesses the predictability of daily infectious diseases-related uncertainty (EMVID) for commodity trading futures in the agricultural bracket, sometimes known as the softs using the heterogeneous autoregressive realised variance (HAR-RV) model. Considering the short-, medium- and long-run recursive out-of-sample estimation approach, we estimate daily realised volatility by using intraday data within the 5-min interval for fifteen agricultural commodity futures. Our results shed a light on the important role EMVID play in predicting the future path of these commodity assets in all time horizons during the COVID-19 episode. These results contain important implications for investors, portfolio managers as well as speculators amid infectious disease-related uncertainty.

Keywords: commodity futures; infectious disease-related uncertainty; forecasting; realised volatility (search for similar items in EconPapers)
JEL-codes: C22 Q02 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2022-10
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Journal Article: Forecastability of Agricultural Commodity Futures Realised Volatility with Daily Infectious Disease-Related Uncertainty (2022)
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