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Evaluating the effectiveness of modern forecasting models in predicting commodity futures prices in volatile economic times

Vancsura, László; Tatay, Tibor; Bareith, Tibor - In: Risks : open access journal 11 (2023) 2, pp. 1-16

The paper seeks to answer the question of how price forecasting can contribute to which techniques gives the most accurate results in the futures commodity market. A total of two families of models (decision trees, artificial intelligence) were used to produce estimates for 2018 and 2022 for 21-...

Persistent link: https://www.econbiz.de/10014233184

Volatility forecasting in commodity markets using macro uncertainty

Bakas, Dimitrios; Triantafyllou, Athanasios - In: Energy economics 81 (2019), pp. 79-94

Persistent link: https://www.econbiz.de/10012172661

Forecasting Commodity Markets Volatility : HAR or Rough?

Alfeus, Mesias - 2020

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 …

Persistent link: https://www.econbiz.de/10012843920