Download or read book Forecasting Commodity Futures Returns written by Massimo Guidolin and published by . This book was released on 2018 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We test whether three well-known commodity-specific variables (basis, hedgingpressure, and momentum) may improve the predictive power for commodity futuresreturns of models otherwise based on macroeconomic factors. We compute recursive,out-of-sample forecasts for fifteen monthly commodity futures return series, whenestimation is based on a stepwise model selection approach under a probability-weightedregime-switching regression that identifies different volatility regimes.Comparisons with an AR(1) benchmark show that the inclusion of commodity-specificfactors does not improve the forecasting power. We perform a back-testing exercise of amean-variance investment strategy that exploits any predictability of the conditionalrisk premium of commodities, stocks, and bond returns, also taking into accounttransaction costs caused by portfolio rebalancing. The risk-adjusted performance of thisstrategy does not allow us to conclude that any forecasting approach outperforms theothers. However, there is evidence that investment strategies based on commodity-specificpredictors outperform the remaining strategies in the high-volatility state.

Download or read book Quantile Forecasting of Commodity Futures Returns written by Miguel Dorta and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study develops a multi-period log-return quantile forecasting procedure to evaluate the performance of eleven nearby commodity futures contracts (NCFC) using a sample of 897 daily price observations and at-the-money (ATM) put and call implied volatilities of the corresponding prices for the period from 1/16/2008 to 7/29/2011. The statistical approach employs dynamic log-returns quantile regression models to forecast price densities using implied volatilities (IVs) and factors estimated through principal component analysis (PCA) from the IVs, pooled IVs and lagged returns. Extensive in-sample and out-of-sample analyses are conducted, including assessment of excess trading returns, and evaluations of several combinations of quantiles, model specifications, and NCFC's. The results suggest that the IV-PCA-factors, particularly pooled return-IV-PCA-factors, improve quantile forecasting power relative to models using only individual IV information. The ratio of the put-IV to the call-IV is also found to improve quantile forecasting performance of log returns. Improvements in quantile forecasting performance are found to be better in the tails of the distribution than in the center. Trading performance based on quantile forecasts from the models above generated significant excess returns. Finally, the fact that the single IV forecasts were outperformed by their quantile regression (QR) counterparts suggests that the conditional distribution of the log-returns is not normal.

Download or read book Do Commodity Futures Help Forecast Spot Prices written by Mr.David A Reichsfeld and published by International Monetary Fund. This book was released on 2011-11-01 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on in-sample tests but, out-of-sample, we find that the forecast from the futures market is hard to beat. We find that the forecasting performance of futures does not depend on the slope of the futures curve, in contrast to the predictions of well-known models of commodity markets. We also find futures' forecasting performance to be invariant to whether prices are in an upswing or downswing, casting doubt on aspersions that uninformed investors participating during bull markets impede the price discovery process.

Download or read book Commodity Futures Forecast Returns and Not Prices written by Davidson Heath and published by . This book was released on 2013 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the forecastability of prices and returns in commodity futures markets. To examine the implications for models of commodity prices we derive a new canonical affine form that lends itself to model evaluation and comparison. Both regressions and model estimates imply that effectively all variation in the term structure of futures prices is due to time varying risk premiums and none to price forecasts. The model estimates further suggest that the economic quantity that links futures prices to storage -- the cost of carry -- is pinned down unambiguously by the data.

Download or read book Forecasting Commodity Prices written by Chakriya Bowman and published by INTERNATIONAL MONETARY FUND. This book was released on 2004-03-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper assesses the performance of three types of commodity price forecasts—those based on judgment, those relying exclusively on historical price data, and those incorporating prices implied by commodity futures. For most of the 15 commodities in the sample, spot and futures prices appear to be nonstationary and to form a cointegrating relation. Spot prices tend to move toward futures prices over the long run, and error-correction models exploiting this feature produce more accurate forecasts. The analysis indicates that on the basis of statistical- and directional-accuracy measures, futures-based models yield better forecasts than historical-data-based models or judgment, especially at longer horizons.

Download or read book Commodity Option Implied Volatilities and the Expected Futures Returns written by Lin Gao and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The detrended implied volatility of commodity options (VOL) forecasts the cross section of the commodity futures returns significantly. A zero-cost strategy that is long in low VOL and short in high VOL commodities yields an annualized return of 12.66% and a Sharpe ratio of 0.69. Notably, the excess returns based on the volatility strategy emanate mainly from its forecasting power for the future spot component, different from the other commodity strategies examined so far in the literature which are all driven by roll returns. This strategy demonstrates low correlations (below 10%) with the other strategies such as momentum or basis and performs especially well in recessions. Our results are robust after controlling for illiquidity, other commodity pricing factors, and exposure to the aggregate commodity market volatility. The VOL measure is associated with hedging pressure on the futures and especially on the options market. News media also helps amplify the uncertainty impact. Variables related to investors' lottery preferences and market frictions are able to explain part of the predictive relationship.

Download or read book Forecasting Commodity Prices written by Chakriya Bowman and published by . This book was released on 2006 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper assesses the performance of three types of commodity price forecasts--those based on judgment, those relying exclusively on historical price data, and those incorporating prices implied by commodity futures. For most of the 15 commodities in the sample, spot and futures prices appear to be nonstationary and to form a cointegrating relation. Spot prices tend to move toward futures prices over the long run, and error-correction models exploiting this feature produce more accurate forecasts. The analysis indicates that on the basis of statistical- and directional-accuracy measures, futures-based models yield better forecasts than historical-data-based models or judgment, especially at longer horizons.

Download or read book Forecasting Commodity Markets written by Julian Roche and published by McGraw-Hill. This book was released on 1995 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Julian Roche explains every major method of forecasting markets; fundamental analysis, technical analysis, & econometric analysis. Roche discusses both the underlying theory & current application of each method, as well as pricing information on data sources & software. Moreover, the book evaluates the advantages & disadvantages of each approach & demonstrate how to combine approaches to produce an optimum forecasting method. Specific topics include: The history of fundamental, technical, & econometric analysis; Forecasting theories & applications; Accuracy of forecasting methods; The role of forecasting in trading decisions; The future of forecasting.

Download or read book Forecasting conditional volatility of returns by using the relationship among returns trading volume and open interest in commodity futures markets written by Sang-Hak Lee and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Forecasting Accuracy of Crude Oil Futures Prices written by Mr.Manmohan S. Kumar and published by International Monetary Fund. This book was released on 1991-10-01 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper undertakes an investigation into the efficiency of the crude oil futures market and the forecasting accuracy of futures prices. Efficiency of the market is analysed in terms of the expected excess returns to speculation in the futures market. Accuracy of futures prices is compared with that of forecasts using alternative techniques, including time series and econometric models, as well as judgemental forecasts. The paper also explores the predictive power of futures prices by comparing the forecasting accuracy of end-of-month prices with weekly and monthly averages, using a variety of different weighting schemes. Finally, the paper investigates whether the forecasts from using futures prices can be improved by incorporating information from other forecasting techniques.

Download or read book Modeling and Forecasting Primary Commodity Prices written by Walter C. Labys and published by Routledge. This book was released on 2017-03-02 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent economic growth in China and other Asian countries has led to increased commodity demand which has caused price rises and accompanying price fluctuations not only for crude oil but also for the many other raw materials. Such trends mean that world commodity markets are once again under intense scrutiny. This book provides new insights into the modeling and forecasting of primary commodity prices by featuring comprehensive applications of the most recent methods of statistical time series analysis. The latter utilize econometric methods concerned with structural breaks, unobserved components, chaotic discovery, long memory, heteroskedasticity, wavelet estimation and fractional integration. Relevant tests employed include neural networks, correlation dimensions, Lyapunov exponents, fractional integration and rescaled range. The price forecasting involves structural time series trend plus cycle and cyclical trend models. Practical applications focus on the price behaviour of more than twenty international commodity markets.

Download or read book Forecasting Commodity Prices written by Harry Jiler and published by . This book was released on 1975 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides background to help forecasting price movements in twenty different commodity future markets and studies the price forecasting with the aid of charts.

Download or read book Profits Normal Backwardation and Forecasting in Commodity Futures written by Charles Schut Rockwell and published by . This book was released on 1964 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Evaluating the Forecasting Performance of Commodity Futures Prices written by Trevor A. Reeve and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Fundamentals of Commodity Futures Returns written by Gary B. Gorton and published by . This book was released on 2012 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity futures risk premiums vary across commodities and over time depending on the level of physical inventories. The convenience yield is a decreasing, non-linear function of inventories. Price measures, such as the futures basis, prior futures returns, prior spot returns, and spot price volatilities reflect the state of inventories and are informative about commodity futures risk premiums. We verify these theoretical predictions using a comprehensive dataset on 31 commodity futures and physical inventories between 1971 and 2010. While the positions of participants in futures markets vary with both returns and the state of inventories, we find no evidence that they predict risk premiums on commodity futures.

Download or read book Farm Commodity Market Performance and Economic Forecasts written by United States. Congress. Joint Economic Committee and published by . This book was released on 1984 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Futures Markets Routledge Revivals written by Barry Goss and published by Routledge. This book was released on 2013-05-02 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 1986, this book discusses many important aspects of the theory and practice of Futures Markets. It describes how they, at the time, grew to be an increasingly important feature of the world's major financial centres. Indeed, they adopted the role of being efficient forward pricing mechanisms and this was reflected by the interest of economists in the study of risk, uncertainty and information. Here, the contributors focus on areas that were of concern in the late 1980s such as feasibility, forward pricing and returns, and the modelling of price determination in Futures Markets. Evidence is drawn from twenty-five different commodities representing all the major commodity groups; and from all the world's major centres of Futures Trading.