Forecasting Fed Cattle, Feeder Cattle, and Corn Cash Price Volatility: The Accuracy of Time Series, Implied Volatility, and Composite Approaches
评估了时间序列、隐含波动率及其组合方法对育肥牛、架子牛和玉米现货价格波动率的预测效果，发现没有单一方法在所有数据集和预测期都最优，建议在数据可用时使用组合方法。
Abstract Economists and others need estimates of future cash price volatility to use in risk management evaluation and education programs. This paper evaluates the performance of alternative volatility forecasts for fed cattle, feeder cattle, and corn cash price returns. Forecasts include time series (e.g. GARCH), implied volatility from options on futures contracts, and composite specifications. The overriding finding from this research, consistent with the existing volatility forecasting literature, is that no single method of volatility forecasting provides superior accuracy across alternative data sets and horizons. However, evidence is provided suggesting that risk managers and extension educators use composite methods when both time series and implied volatilities are available.