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Forecasting ethanol price volatility under structural breaks

Bouri, Elie; Dutta, Anupam; Saeed, Tareq (2020-10-06)

 
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Tiedosto avautuu julkiseksi:
: 06.10.2021
URI
https://doi.org/10.1002/bbb.2158

Bouri, Elie
Dutta, Anupam
Saeed, Tareq
Society of Chemical Industry Wiley
06.10.2020
doi:10.1002/bbb.2158
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http://urn.fi/URN:NBN:fi-fe2020112392382

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© Wiley 2020. This is the peer reviewed version of the following article: Bouri, E., Dutta, A. & Saeed, T. (2020). Forecasting ethanol price volatility under structural breaks. Biofuels, Bioproducts and Biorefining, early view, which has been published in final form at https://doi.org/10.1002/bbb.2158. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.
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The use of ethanol as a vehicle fuel has reduced greenhouse gas emissions significantly. The introduction of ethanol has also led to a decrease in crude oil prices. Considering the economic and environmental significance of the biofuel markets, a strand of literature investigates the price and volatility dynamics of US ethanol prices. In this paper, in contrast to previous studies, we investigate whether information on structural breaks plays an important role in predicting US ethanol market volatility. Our findings reveal that generalized autoregressive conditional heteroskedasticity (GARCH) models incorporating these breaks improve the prediction of US ethanol market volatility. Furthermore, the persistence of volatility tends to decline when structural breaks are included in the GARCH models. We further note that the influence of good and bad news is properly assessed under such breaks. Our results suggest that ignoring such breaks could mislead the risk assessment procedure for the US biofuel industry.
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