Realized volatility prediction of the US Commodity futures during the Global Financial Crisis (GFC) and COVID-19 pandemic

Oláh, Judit; Noor, Thuhid; Uddin, Shamim

doi:10.17512/pjms.2023.27.2.16

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Tytuł artykułu

Realized volatility prediction of the US Commodity futures during the Global Financial Crisis (GFC) and COVID-19 pandemic

Autorzy

Oláh Judit , Noor Thuhid , Uddin Shamim

Treść / Zawartość

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DOI

10.17512/pjms.2023.27.2.16

Warianty tytułu

Prognoza zrealizowanej zmienności kontraktów terminowych na towary w USA podczas globalnego kryzysu finansowego (GFC) I pandemii COVID-19

Języki publikacji

Abstrakty

This research aims to inspect the predictability of the realized volatility (RV) of the US Commodity futures market during the economic crisis period for the last 20 years. The economic crisis period includes the Global Financial Crisis (GFC) and the financial crisis during COVID-19. This study extends its aim to show the forecasting comparison during the financial crisis period and the normal economic period. A standard predictive regression model from the weekly RV data is used to test the certainty of next week’s RV of the commodity futures. This study uses data from Q1 of 2000 to Q3 of 2020. It finds that platinum, palladium, gold, and crude oil have significant predictability for the RV forecast during the global financial crisis, whereas sugar, silver, and platinum have high and significant predictability to forecast the RV during the pandemic. In addition, a comparison of RV predictability between normal economic periods and economic crisis periods shows a significant difference in predictability between different economic periods.

Niniejsze badanie ma na celu zbadanie przewidywalności zrealizowanej zmienności (RV) na amerykańskim rynku kontraktów terminowych na towary w okresie kryzysu gospodarczego w ciągu ostatnich 20 lat. Okres kryzysu gospodarczego obejmuje globalny kryzys finansowy (GFC) i kryzys finansowy podczas COVID-19. Niniejsze badanie rozszerza swój cel, aby pokazać porównanie prognoz w okresie kryzysu finansowego i normalnego okresu gospodarczego. Standardowy model regresji predykcyjnej z tygodniowych danych RV jest wykorzystywany do testowania pewności przyszłotygodniowej RV kontraktów terminowych na towary. W badaniu wykorzystano dane z okresu od 1. kwartału 2000 r. do 3. kwartału 2020 r. Stwierdzono, że platyna, pallad, złoto i ropa naftowa mają znaczną przewidywalność prognozy RV podczas globalnego kryzysu finansowego, podczas gdy cukier, srebro i platyna mają wysoką i znaczącą przewidywalność w prognozowaniu RV podczas pandemii. Ponadto porównanie przewidywalności RV między normalnymi okresami gospodarczymi a okresami kryzysu gospodarczego pokazuje znaczną różnicę w przewidywalności między różnymi okresami gospodarczymi.

Słowa kluczowe

realized volatility commodity futures volatility prediction global financial crisis COVID-19

zmienność zrealizowana kontrakty terminowe na towary przewidywanie zmienności światowy kryzys finansowy COVID-19

Wydawca

Czestochowa University of Technology

Czasopismo

Polish Journal of Management Studies

Rocznik

2023

Tom

Vol. 27, No. 2

Strony

260--277

Opis fizyczny

Bibliogr. 66 poz., rys., tab.

Twórcy

autor

Oláh Judit

oláh.judit@uni-neumann.hu

John von Neumann University, Kecskemét, Hungary
College of Business and Economics, University of Johannesburg, Johannesburg 2006, South Africa

https://orcid.org/0000-0003-2247-1711

autor

Noor Thuhid

noormt@myumanitoba.ca

Department of Economics, University of Manitoba, Winnipeg, MB R3T 2N2, Canada

https://orcid.org/0000-0002-1296-4152

autor

Uddin Shamim

u.shamim784@gmail.com

Department of Finance and Banking, Begum Rokeya University, Rangpur 5400, Bangladesh

https://orcid.org/0009-0009-9068-3856

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Uwagi

Opracowanie rekordu ze środków MEiN, umowa nr SONP/SP/546092/2022 w ramach programu "Społeczna odpowiedzialność nauki" - moduł: Popularyzacja nauki i promocja sportu (2022-2023).

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Bibliografia

Identyfikator YADDA

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