We forecast the realized and median realized volatility of agricultural commodities using variants of the Heterogeneous …-sample analysis shows that the variants of the HAR model which decompose volatility measures into their continuous path and jump … volatility decomposition or relative transformations of volatility, in the forecasting models …

the volatility of rare earth elements (REEs). We find strong support for the existence of long-memory effects. A simple … various subsamples and estimation windows. Volatility forecasts produced by the base model also convey material forward …-looking information for companies in the REE industry. Thus, an active trading strategy based on REE volatility forecasts for these …

electrification of global economies. However, their markets are characterized by high price volatility due to supply concentration …, low substitutability, and limited price elasticity. This paper provides a comprehensive analysis of the price volatility … visualization methods, we identify key features for accurate point and density forecasts. We evaluate various volatility models …

of realized volatility and skewness for gold futures returns. Controlling for several widely studied market- and …

This is the first comprehensive study on the forecasting of the realized volatility of non-ferrous metal futures. Based … volatility series of aluminum is most useful in enhancing the accuracy of forecasts for other metals. While consistently …

issue is particularly important for persistent time series, we focus on volatility modelling, specifically modelling of … realized volatility. We suggest a simple way of adjusting volatility models, which we illustrate on an AR(1) model and the HAR … more than 15 years, and we find that our extension improves the volatility models—both in sample and out of sample. For HAR …

using volatilities from strategically linked commodities; thus, no volatility spillovers are detected. Interestingly, when …

This paper investigates volatility forecasting for crude oil and natural gas. The main objective of our research is to … from a related energy commodity. We find that on average, information from related commodity does not improve volatility …, superior volatility forecasts are produced by combining forecasts from various models. As a result, information from the …