Do economic variables forecast commodity futures volatility?
研究了供给或需求不确定性、到期时间和期限结构斜率能否解释商品期货的已实现波动率，并评估了这些经济变量在样本内外的预测能力。
Abstract This paper explores empirically whether the supply or the demand uncertainty, the time to maturity, and the slope of the term structure (storage), explain the realized volatility of nearby commodity futures 5‐min returns. I find support for the “uncertainty resolution” and the “theory of storage” hypotheses while the “time to maturity” hypothesis is rejected. These results are robust to the inclusion of autoregressive terms in the baseline model. Next, I evaluate the in‐ and out‐of‐sample forecasting ability of models including these economic variables and find mixed results. Finally, I test the validity of these forecasts in expected shortfall modeling.