Forecasting volatility in commodity markets Kroner, Kenneth F; Kneafsey, Kevin P; Claessens, Stijn

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Authors
Kroner, Kenneth F ; Kneafsey, Kevin P ; Claessens, Stijn
Appears In
Journal of Forecasting
Subjects
Commodity exchanges -- Forecasts and trends; Forecasting -- Methods; Methods
Audience
Academic
Summary
Commodity prices have historically been the most volatile of all global asset prices. Therefore, price forecasts are reliable only as far as volatility is predictable. However, volatility in commodity exchanges is far from constant and must be predicted before price forecasts can be made. A model that incorporates both time series forecasts and investors' expectations is proposed. This model results in long-term volatility forecasts that are more accurate than those obtained from other methods.
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http://trove.nla.gov.au/work/109516
Work ID
109516

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