Recently, modeling and forecasting of high-frequency data (such as daily price) volatility using GARCH-MIDAS attract … the attention of many researchers. Thus, the objective of this study is to model the average daily coffee price volatility … at level. From the result of estimated model, all selected indicators are crucial in explaining price volatility …

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 …

In this study, we predict the daily volatility of the S&P CNX NIFTY market index of India using the basic … jump and continuous component from the realized volatility. We also tried to investigate whether dividing volatility into … simple and threshold jumps and continuous variation yields a substantial improvement in volatility forecasting or not. The …