Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F18%3A00101156" target="_blank" >RIV/00216224:14560/18:00101156 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.energy.2018.04.194" target="_blank" >http://dx.doi.org/10.1016/j.energy.2018.04.194</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.energy.2018.04.194" target="_blank" >10.1016/j.energy.2018.04.194</a>
Alternative languages
Result language
angličtina
Original language name
Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds
Original language description
This paper investigates volatility forecasting for crude oil and natural gas. The main objective of our research is to determine whether the heterogeneous autoregressive (HAR) model of Corsi (2009) can be outperformed by harnessing information from a related energy commodity. We find that on average, information from related commodity does not improve volatility forecasts, whether we consider a multivariate model, or various univariate models that include this information. However, superior volatility forecasts are produced by combining forecasts from various models. As a result, information from the related commodity can be still useful, because it allows us to construct wider range of possible models, and averaging across various models improves forecasts. Therefore, for somebody interested in precise volatility forecasts of crude oil or natural gas, we recommend to focus on model averaging instead of just including information from related commodity in a single forecast model.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
<a href="/en/project/GA18-05829S" target="_blank" >GA18-05829S: Forecasting Volatility in Emerging Financial Markets</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Energy
ISSN
0360-5442
e-ISSN
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Volume of the periodical
155
Issue of the periodical within the volume
15 July
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
12
Pages from-to
462-473
UT code for WoS article
000445303100040
EID of the result in the Scopus database
2-s2.0-85048194675