Panel quantile regressions for estimating and predicting the value-at-risk of commodities |
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Authors: | Franti?ek ?ech Jozef Baruník |
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Institution: | Department of Macroeconomics and Econometrics, Institute of Economic Studies, Charles University, Prague, Czech Republic |
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Abstract: | 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. |
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Keywords: | implied volatility panel quantile regression realized volatility value-at-risk |
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