Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities

0507522 - ÚTIA 2020 RIV US eng J - Článek v odborném periodiku
Čech, František - Baruník, Jozef
Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities.
Journal of Futures Markets. Roč. 39, č. 9 (2019), s. 1167-1189. ISSN 0270-7314. E-ISSN 1096-9934
Institucionální podpora: RVO:67985556
Klíčová slova: implied volatility * panel quantile regression * realized volatility * value‐at‐risk
Obor OECD: Finance
Impakt faktor: 1.359, rok: 2019
Způsob publikování: Open access
http://library.utia.cas.cz/separaty/2019/E/barunik-0507522.pdf https://onlinelibrary.wiley.com/doi/full/10.1002/fut.22017?af=R

Using a flexible panel quantile regression framework, we show how the future conditional quantiles of commodities returns depend on both ex post and ex ante uncertainty. Empirical analysis of the most liquid commodities covering main sectors, including energy, food, agriculture, and precious and industrial metals, reveal several important stylized facts. We document common patterns of the dependence between future quantile returns and ex post as well as ex ante volatilities. We further show that the conditional returns distribution is platykurtic. The approach can serve as a useful risk management tool for investors interested in commodity futures contracts.
Trvalý link: http://hdl.handle.net/11104/0298673