This paper analyzes the volatility structure of the commodity derivatives markets. The model encompasses stochastic … volatility that may be unspanned by the futures contracts. A generalized hump-shaped volatility specification is assumed that … futures. An empirical study of the crude oil futures volatility structure is carried out using an extensive database of …

, jumps, leverage effects, and speculation effects are taken into account in realized volatility modeling. We forecast five … investors compared to benchmark HAR model for short-term volatility forecasts …