Forecasting Realized Volatility of Agricultural Commodities

Keyphrases

• Agricultural Commodities 100%
• Heterogeneous Autoregressive Model 100%
• Realized Volatility 100%
• Wheat 25%
• At-risk 25%
• Out-of-sample Forecasting 25%
• Forecasting Model 25%
• Volatility 25%
• Sample Analysis 25%
• Fitting in 25%
• Jump Component 25%
• Rough Rice 25%
• Relative Transformation 25%
• Tick-by-tick Data 25%
• Median Realized Volatility 25%
• Volatility Index 25%
• Predictive Regression 25%
• Path Component 25%
• Superior Predictive Ability Test 25%
• Continuous Path 25%
• Leverage Effect 25%
• Volatility Decomposition 25%

Mathematics

• Autoregressive Model 100%
• Value at Risk 33%
• Predictive Ability 33%
• Sample Result 33%
• Forecasting Model 33%
• Leverage Effect 33%

Economics, Econometrics and Finance

• Volatility 100%
• Predictive Regression 20%