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The role of sudden variance shifts in predicting volatility in bioenergy crop markets under structural breaks
Open accessAbstract
Forecasting bioenergy feedstock commodity volatility has received significant attention due to its importance in biofuel production and household consumption. Several extreme events, including the COVID-19 pandemic, have sparked interest in studying the role of structural breaks on volatility modeling and prediction in these markets. This study extensively examines the prediction performance of econometric models at multiple horizons using a rolling-window approach, with and without accommodating structural changes. We exploit the ICSS algorithm to determine the in-sample estimation windows to accommodate structural breaks. We extend the procedure beyond GARCH-class models. Also, the detected break information defines the regime dummies. The study innovatively evaluates the prediction performance of specific GARCH-class models by incorporating binary variables for sudden shifts in unconditional variance. Our findings reveal that accounting for the endogenously detected structural breaks through the dummy variables leads to considerable forecast accuracy gains.
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“Specific quantitative projections for feedstock availability in this period remain uncertain [271].”
From Biofuels, E-Fuels, and Waste-Derived Fuels: Advances, Challenges, and Future Directions (2025) · cites this paper as [271]
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Retracted
Metadata
- Authors
- Hasanov, A. S., Burkhanov, A. U., Usmonov, B., Khajimuratov, N. S., & Khurramova, M. M. Q.
- Affiliations
- Monash University Malaysia (MY)
- Tashkent State University of Economics (UZ)
- Corresponding author
- Hasanov, Akram Shavkatovich
- ORCID
- Venue
- Energy
- Publisher
- Elsevier BV
- Published
- 2024-04
- Volume
- 293
- Pages
- 130535
- ISSN
- 0360-5442 (ISSN-L)
- OpenAlex
- W4391642684
- Cited by
- 43
- References
- 69
- Citations by year
- 2026: 1 · 2025: 4 · 2024: 38
- FWCI
- 15.37
- Type
- journal article
- Language
- en
- Open access
- hybrid
- doi.org
- Licence
- Locations
- Energy (publishedVersion, cc-by)
- Monash University Research Portal (Monash University) (submittedVersion, cc-by)
- RePEc: Research Papers in Economics (submittedVersion)
- Funders
- Monash University Malaysia (B-2-2020)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Market Dynamics and Volatility
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Economics of Agriculture and Food Markets
- Keywords
- volatility forecasting, structural breaks, ICSS algorithm, GARCH models, rolling window forecasting, COVID-19 market impact
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