Predicting the volatility of major energy commodity prices: the dynamic persistence model
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F24%3A00600509" target="_blank" >RIV/67985556:_____/24:00600509 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/24:10491801
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S014098832400690X?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S014098832400690X?via%3Dihub</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.eneco.2024.107982" target="_blank" >10.1016/j.eneco.2024.107982</a>
Alternative languages
Result language
angličtina
Original language name
Predicting the volatility of major energy commodity prices: the dynamic persistence model
Original language description
Time variation and persistence are crucial properties of volatility that are often studied separately in energy volatility forecasting models. Here, we propose a novel approach that allows shocks with heterogeneous persistence to vary smoothly over time, and thus model the two together. We argue that this is important because such dynamics arise naturally from the dynamic nature of shocks in energy commodities. We identify such dynamics from the data using localised regressions and build a model that significantly improves volatility forecasts. Such forecasting models, based on a rich persistence structure that varies smoothly over time, outperform state-of-the-art benchmark models and are particularly useful for forecasting over longer horizons.
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
50202 - Applied Economics, Econometrics
Result continuities
Project
<a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Energy Economics
ISSN
0140-9883
e-ISSN
1873-6181
Volume of the periodical
140
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
7
Pages from-to
107982
UT code for WoS article
001355240700001
EID of the result in the Scopus database
2-s2.0-85208215688