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Multivariate realized volatility forecasts of agricultural commodity futures

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  • Jiawen Luo
  • Langnan Chen

Abstract

We forecast the multivariate realized volatility of agricultural commodity futures by constructing multivariate heterogeneous autoregressive (MHAR) models with flexible heteroscedastic error structures that allow for non‐Gaussian distribution, stochastic volatility, and heteroscedastic and serial dependence. We evaluate the forecast performances of various models based on both statistical and economic criteria. The in‐sample and out‐of‐sample results suggest that the proposed MHAR models allowing for flexible heteroscedastic covariance structures outperform the benchmark MHAR models. In addition, the proposed Bayesian MHAR models allowing for t innovations improve both in‐sample and out‐of‐sample forecast performance of the corresponding MHAR models with Gaussian innovations.

Suggested Citation

  • Jiawen Luo & Langnan Chen, 2019. "Multivariate realized volatility forecasts of agricultural commodity futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(12), pages 1565-1586, December.
    • Handle: RePEc:wly:jfutmk:v:39:y:2019:i:12:p:1565-1586
    DOI: 10.1002/fut.22052
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    Cited by:

    1. Rangan Gupta & Christian Pierdzioch, 2024. "Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices," Working Papers 202423, University of Pretoria, Department of Economics.
    2. Hardik A. Marfatia & Qiang Ji & Jiawen Luo, 2022. "Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 383-404, March.
    3. Rangan Gupta & Christian Pierdzioch, 2024. "Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices," Mathematics, MDPI, vol. 12(18), pages 1-26, September.
    4. Alfeus, Mesias & Nikitopoulos, Christina Sklibosios, 2022. "Forecasting volatility in commodity markets with long-memory models," Journal of Commodity Markets, Elsevier, vol. 28(C).

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