Less disagreement, better forecasts: Adjusted risk measures in the energy futures market

Ning Zhang, Yujing Gong, Xiaohan Xue

Research output: Contribution to journalArticlepeer-review


This paper develops a generic adjustment framework to improve in the market risk forecasts of diverse risk forecasting models, which indicates the degree to which risk is under- and overestimated. In the context of the energy commodity market, a market in which tail risk management is of crucial importance, the empirical analysis shows that after this adjustment framework is applied, the forecasting performance of various risk models generally improves, as verified by a battery of backtesting methods. Additionally, our method also lessens the risk model disagreement among post-adjusted risk forecasts.

Original languageEnglish
Pages (from-to)1332-1372
Number of pages41
JournalJournal of Futures Markets
Issue number10
Early online date5 Apr 2023
Publication statusPublished - 1 Oct 2023

Bibliographical note

Funding Information:
The authors would like to thank Andrew Patton (discussant) as well as participants at 11th International Conference on Futures and Other Derivatives and 2022 Australasian Finance and Banking Conference for helpful comments and suggestions. Any errors are our own. Yujing Gong gratefully acknowledges the support of the Economic and Social Research Council (ESRC) in funding the Systemic Risk Centre (grant numbers ES/K002309/1 and ES/R009724/1).

Publisher Copyright:
© 2023 The Authors. The Journal of Futures Markets published by Wiley Periodicals LLC.


  • energy futures
  • expected shortfall
  • finance
  • model disagreement
  • value at risk

ASJC Scopus subject areas

  • Economics and Econometrics
  • Accounting
  • General Business,Management and Accounting
  • Finance


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