nep-for New Economics Papers
on Forecasting
Issue of 2021‒09‒06
two papers chosen by
Rob J Hyndman
Monash University

  1. Exploring volatility of crude oil intra-day return curves: a functional GARCH-X Model By Rice, Gregory; Wirjanto, Tony; Zhao, Yuqian
  2. Improving ERS's Net Cash Income Forecasts using USDA Baseline Projections By Kuethe, Todd H.; Bora, Siddhartha S.; Katchova, Ani

  1. By: Rice, Gregory; Wirjanto, Tony; Zhao, Yuqian
    Abstract: Crude oil intra-day return curves collected from the commodity futures market often appear to be serially uncorrelated and long-range dependent. Existing functional GARCH models, while able to accommodate short range conditional heteroscedasticity, are not designed to capture long-range dependence. We propose and study a new functional GARCH-X model for this purpose, where the covariate X is chosen to be weakly stationary and long-range dependent. Functional analogs of autocorrelation coefficients of squared processes for this model are derived, and compared to those estimated from crude oil return curves. The results show that the FGARCH-X model provides a significant correction to existing functional volatility models in terms of an in-sample fitting, while its out-of-sample performances do not appear to be more superior than those of the existing functional GARCH models.
    Keywords: Crude oil intra-day return curves, volatility modeling and forecasting, functional GARCH-X model, long-range dependence, basis selection
    JEL: C13 C32 C58 G10 G17
    Date: 2021–08–18
  2. By: Kuethe, Todd H.; Bora, Siddhartha S.; Katchova, Ani
    Keywords: Agricultural Finance, Marketing, Agricultural and Food Policy
    Date: 2021–08

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