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Modeling and forecasting volatility in global food commodity prices
volatility forecast fat-tail distribution food commodities
2014/2/27
To capture the volatility in the global food commodity prices, we employed two competing models, the thin tailed the normal distribution, and the fat-tailed Student t-distribution models. Results base...
Forecasting volatility with the multifractal random walk model
Forecasting volatility the multifractal random walk model
2010/12/13
We study the problem of forecasting volatility for the multifractal random walk model. In order to avoid the ill posed problem of estimating the correlation length T of the model, we introduce a limit...