To capture the volatility in the global food commodity prices, we employed two competing models, the thin tailed the … simplicity may lead to unreliable results of the conditional volatility estimates. The paper also shows that the volatility of … food commodity prices characterized with the intermediate and short memory behavior, implying that the volatility of food …

Commodity is one of the most volatile markets and forecasting its volatility is an issue of paramount importance. We … study the dynamics of the commodity markets volatility by employing fractional stochastic volatility and heterogeneous … autoregressive (HAR) models. Based on a high-frequency futures price dataset of 22 commodities, we confirm that the volatility of …

This paper investigates the time-varying volatility patterns of some major commodities as well as the potential factors … that drive their long-term volatility component. For this purpose, we make use of a recently proposed GARCH-MIDAS approach … of disentangling the short-term and long-term components in modeling and forecasting commodity volatility. They also …