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Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices

Author

Listed:
  • Rangan Gupta

    (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa)

  • Christian Pierdzioch

    (Department of Economics, Helmut Schmidt University, Holstenhofweg 85, P.O.B. 700822, 22008 Hamburg, Germany)

Abstract

Motivated by the comovement of realized volatilities (RVs) of agricultural commodity prices, we study whether multi-task forecasting algorithms improve the accuracy of out-of-sample forecasts of 15 agricultural commodities during the sample pe- riod from July 2015 to April 2023. We consider alternative multi-task stacking algorithms and variants of the multivariate Lasso estimator. We find evidence of in-sample predictability, but hardly evidence that multi-task forecasting improves out-of-sample forecasts relative to a classic univariate heterogeneous autoregres- sive (HAR) RV model. We also study an extended model that features the RVs of energy commodities and precious metals.

Suggested Citation

  • Rangan Gupta & Christian Pierdzioch, 2024. "Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices," Working Papers 202423, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:202423
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    More about this item

    Keywords

    Agricultural commodities; Realized volatility; Multi-task forecasting;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices

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