Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities

This paper investigates how realized and option implied volatilities are related to the future quantiles of commodity returns. Whereas realized volatility measures ex-post uncertainty, volatility implied by option prices reveals the market's expectation and is often used as an ex-ante measure of the investor sentiment. Using a flexible panel quantile regression framework, we show how the future conditional quantiles of commodities returns depend on both ex-post and ex-ante uncertainty measures. ...