Abstract:
Given the food supply chain disruption from COVID-19 lockdowns around the world, we
examine the predictive power of daily infectious diseases-related uncertainty (EMVID) on commodity
traded futures within the agricultural bracket, sometimes known as the softs, using the heterogeneous
autoregressive realised variance (HAR-RV) model. Considering the short-, medium-, and long-run
recursive out-of-sample estimation approach, we estimate daily realised volatility by using intraday
data within the 5 min interval for 15 agricultural commodity futures. During the COVID-19 episode,
our results indicated that EMVID plays an important role in predicting the future path of agricultural
commodity traded futures in the short, medium, and long run, i.e., h = 1, 5, and 22, respectively.
According to the MSE-F test, these results are statistically significant. These results contain important
implications for investors, portfolio managers, and speculators when faced with investment risk
management and strategic asset allocation during infectious disease-related uncertainty.
