0600509 20250310153232.520241108235959.9 85208215688 001355240700001 10.1016/j.eneco.2024.107982 7 s. P cav_un_epca*02504260140-9883140Elsevier persistence heterogeneity wold decomposition local stationarity time-varying parameters cav_un_auth*0242028 Baruník Jozef UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0101217 Vácha Lukáš UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. https://library.utia.cas.cz/separaty/2024/E/barunik-0600509.pdf https://www.sciencedirect.com/science/article/pii/S014098832400690X?via%3Dihub GX19-28231X GA ČR CZ cav_un_auth*0385135 Time variation and persistence are crucial properties of volatility that are often studied separately in energy volatility forecasting models. Here, we propose a novel approach that allows shocks with heterogeneous persistence to vary smoothly over time, and thus model the two together. We argue that this is important because such dynamics arise naturally from the dynamic nature of shocks in energy commodities. We identify such dynamics from the data using localised regressions and build a model that significantly improves volatility forecasts. Such forecasting models, based on a rich persistence structure that varies smoothly over time, outperform state-of-the-art benchmark models and are particularly useful for forecasting over longer horizons. WOS AH 50000 50200 50202 2025 2 2 R hod 4 4rh 4 20250310152052.8 4 20250310153232.5 RVO:67985556 https://hdl.handle.net/11104/0358246 S 107982 C ECONOMICS 13.2 2.6 3.8 0.04634 2.28 53243 230 3.919 64.57 15.43 27784 Q1 12.300 747 Q1 99.9 4.59 Q1 99.9 2024 Soubory v repozitáři: barunik-0600509.pdf 85208215688 SCOPUS PUBMED 001355240700001 WOS cav_un_epca*0250426 Energy Economics 0140-9883 1873-6181 Roč. 140 č. 1 2024 Elsevier