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.

中文翻译：

---

预测主要能源商品价格的波动性：动态持久性模型


时间变化和持久性是波动性的关键属性，通常在能源波动率预测模型中单独研究。在这里，我们提出了一种新的方法，允许具有异质持久性的冲击随时间平滑变化，从而将两者一起建模。我们认为这很重要，因为这种动态自然产生于能源商品冲击的动态性质。我们使用局部回归从数据中识别此类动态，并构建一个可显著改善波动率预测的模型。此类预测模型基于随时间平滑变化的丰富持久性结构，优于最先进的基准模型，对于长期预测特别有用。