Chinese agricultural futures volatility: New insights from potential domestic and global predictors

This paper investigates whether the potential predictors from China and globally can efficiently predict Chinese agricultural futures volatility by adopting the REGARCH-MIDAS framework. We highlight the predictability of numerous Chinese potential predictors for forecasting ten agricultural futures volatility, which is relatively better than that of global potential predictors. Robustness tests such as different realized measure and different forecasting window confirm the above conclusions. Performances of predictors during different volatility levels, before and during the COVID-19 pandemic are further discussed. This paper tries to shed new light on the volatility prediction of Chinese agricultural futures markets.