-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point … VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that …

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 …

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 …

The ability of Google Trends data to forecast the number of new daily cases and deaths of COVID-19 is examined using a …, Granger causality tests, and an out-of-sample forecasting exercise with 18 competing models with a forecast horizon of 14 days …

We augment the HAR model with additional information channels to forecast realized volatility of WTI futures prices …

The ex-ante forecast of the SP500 index discussed in Fantazzini (2010a), covering the time sample 14 … the SP500 index trailed the forecasted values quite well, moving inside the forecast confidence bands for over a year …/08/2010, the stock market index never returned inside the forecast confidence bands. Additional evidence is then provided to show …

. (2010c). The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models … selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al … for the entire period. This paper presents evidence to support the claim that the median point forecast of VaR is …

We analyze the effects of the outbreak of the Russian-Ukrainian war on the volatility in commodity and financial … markets. The Russian invasion sharply raised the volatility of most assets, however, the scale of reactions was market … accuracy of volatility models and find the superiority of the modified Range GARCH model. Our findings reveal also a specific …