EconPapers    
Economics at your fingertips  
 

Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables

Thomas Walther and Duc Khuong Nguyen

No 1824, Working Papers on Finance from University of St. Gallen, School of Finance

Abstract: This paper investigates the time-varying volatility patterns of some major commodities as well as the potential factors that drive their long-term volatility component. For this purpose, we make use of a recently proposed GARCH-MIDAS approach which typically allows us to examine the role of economic and financial variables of different frequencies. Using commodity futures for Crude Oil (WTI and Brent), Gold, Silver and Platinum as well as a commodity index, our results show the necessity of disentangling the short-term and long-term components in modeling and forecasting commodity volatility. They also indicate that the long-term volatility of most commodity futures is significantly driven by the level of the global real economic activity as well as the changes in consumer sentiment, industrial production, and economic policy uncertainty. However, the forecasting results are not alike across commodity futures as no single model fits all commodities.

Keywords: Commodity futures; GARCH; Long-term volatility; Macroeconomic effects; Mixed data sampling. (search for similar items in EconPapers)
JEL-codes: C58 G17 Q02 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2018-12
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://ux-tauri.unisg.ch/RePEc/usg/sfwpfi/WPF-1824.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://ux-tauri.unisg.ch/RePEc/usg/sfwpfi/WPF-1824.pdf [301 Moved Permanently]--> https://ux-tauri.unisg.ch/RePEc/usg/sfwpfi/WPF-1824.pdf)

Related works:
Journal Article: Modeling and forecasting commodity market volatility with long‐term economic and financial variables (2020) Downloads
Working Paper: Modeling and forecasting commodity market volatility with long-term economic and financial variables (2018) Downloads
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:usg:sfwpfi:2018:24

Access Statistics for this paper

More papers in Working Papers on Finance from University of St. Gallen, School of Finance Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2025-04-01
Handle: RePEc:usg:sfwpfi:2018:24