Combining high frequency data with non-linear models for forecasting energy market volatility

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F16%3A00456185" target="_blank" >RIV/67985556:_____/16:00456185 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/16:10323719
Result on the web
<a href="http://dx.doi.org/10.1016/j.eswa.2016.02.008" target="_blank" >http://dx.doi.org/10.1016/j.eswa.2016.02.008</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.eswa.2016.02.008" target="_blank" >10.1016/j.eswa.2016.02.008</a>

Result language
angličtina
Original language name
Combining high frequency data with non-linear models for forecasting energy market volatility
Original language description
The popularity of realized measures and various linear models for volatility forecasting has been the focus of attention in the literature addressing energy markets' price variability over the past decade. However, there are no studies to help practitioners achieve optimal forecasting accuracy by guiding them to a specific estimator and model. This paper contributes to this literature in two ways. First, to capture the complex patterns hidden in linear models commonly used to forecast realized volatility, we propose a novel framework that couples realized measures with generalized regression based on artificial neural networks. Our second contribution is to comprehensively evaluate multiple-step-ahead volatility forecasts of energy markets using several popular high frequency measures and forecasting models. We compare forecasting performance across models and across realized measures of crude oil, heating oil, and natural gas volatility during three qualitatively distinct periods: the pre-crisis period, the 2008 global financial crisis, and the post-crisis period.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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