realized volatility

A comprehensive look at commodity volatility forecasting

This research combines recent advances in the Realized Volatility (RV) literature and three specific commodity futures factors to improve the forecasts of commodity volatility. The three forecasting variables are the term structure slope, the time to maturity and a measure of supply and demand uncertainty. I first assess these variables’ empirical contribution to commodity futures volatility, in adding them in RV forecast models. First in the univariate HAR-RV of Corsi (2009) and second in the multivariate VAR-RV of Andersen, Bollerslev, Diebold, and Labys (2003).