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 …

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

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 …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …

volatility forecasting of crude oil with a vast variety of empirical analyses and robustness checks. Although the conventional …