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This paper investigates how realized and option implied volatilities arerelated to the future quantiles of commodity returns. Whereas realizedvolatility measures ex-post uncertainty, volatility implied by option pricesreveals the market's expectation and is often used as an ex-ante measure of theinvestor sentiment. Using a flexible panel quantile regression framework, weshow how the future conditional quantiles of commodities returns depend on bothex-post and ex-ante uncertainty measures. Empirical analysis of the most liquidcommodities covering main sectors including energy, food, agricultural,precious and industrial metals reveal several important stylized facts aboutthe data. We document common patterns of the dependence between future quantilereturns and ex-post as well as ex-ante volatilities. We further show thatconditional returns distribution is platykurtic and time-invariant. Theapproach can serve as a useful risk management tools for investors interestedin commodity future contracts.

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