Shiba, SisaAye, Goodness ChiomaGupta, RanganGoswami, Samrat2023-08-212023-08-212022-11-10Shiba, Sisa, Goodness C. Aye, Rangan Gupta, and Samrat Goswami. 2022. Forecastability of Agricultural Commodity Futures Realised Volatility with Daily Infectious Disease-Related Uncertainty. Journal of Risk and Financial Management 15: 525. https://DOI.org/10.3390/jrfm15110525.1911-8066 (print)1911-8074 (online)10.3390/jrfm15110525http://hdl.handle.net/2263/92003DATA AVAILABILITY STATEMENT : Data are available under request from the authors, but the raw data is publicly available as stated in the data segment.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.en© 2022 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license.Commodity futuresInfectious disease-related uncertaintyForecastingRealised volatilitySDG-08: Decent work and economic growthHeterogeneous autoregressive realized volatility (HAR-RV)Article