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Forecasting Commodity Price Volatility with Internet Search Activity

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  • Basistha, Arabinda
  • Kurov, Alexander
  • Wolfe, Marketa Halova

Abstract

Commodity prices are volatile. Forecasting the volatility has been notoriously difficult. We propose using Internet search activity to forecast commodity futures price volatility. We show that Google search volume improves forecasts of volatility both in-sample and out-of-sample in all commodity categories (energy, metal and agriculture).

Suggested Citation

  • Basistha, Arabinda & Kurov, Alexander & Wolfe, Marketa Halova, 2015. "Forecasting Commodity Price Volatility with Internet Search Activity," 2015 Conference, April 20-21, 2015, St. Louis, Missouri 285827, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    • Handle: RePEc:ags:n13415:285827
    DOI: 10.22004/ag.econ.285827
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    References listed on IDEAS

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