Less disagreement, better forecasts: Adjusted riskmeasures in the energy futures market

Ning Zhang, Yujing Gong, Xiaohan Xue

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This paper develops a generic adjustment framework to improve in the market risk forecasts of diverse risk forecasting models, which indicates the degree to which risk is under- and overestimated. In the context of the energy commodity market, a market in which tail risk management is of crucial importance, the empirical analysis shows that after this adjustment framework is applied, the forecasting performance of various risk models generally improves, as verified by a battery of backtesting methods. Additionally, our method also lessens the risk model disagreement among post-adjusted risk forecasts.
Original languageEnglish
Pages (from-to)1332-1372
Number of pages41
JournalJournal of Futures Markets
Issue number10
Early online date5 Apr 2023
Publication statusPublished - Oct 2023

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