White Paper

Volatility Forecasting in Futures Markets: A Statistical and Value-at-Risk Evaluation

December 21, 2015

Commodity trading advisors use volatility forecasts to help them manage their risks. Theo Athanasiadis examines widely-used volatility estimators for the S&P 500 and the 10-Year US Note, and explains how firms that improve their volatility forecasts can generate superior VaR estimates.