{"id":"W4417014749","doi":"10.1016/j.eneco.2025.109075","title":"A mean reverting affine GARCH model for commodities","year":2025,"lang":"en","type":"article","venue":"Energy Economics","topic":"Market Dynamics and Volatility","field":"Economics, Econometrics and Finance","cited_by":1,"is_retracted":false,"has_abstract":false,"ca_institutions":"Western University","funders":"","keywords":"Mean reversion; Futures contract; Spot contract; Volatility (finance); Autoregressive conditional heteroskedasticity; Affine transformation; Commodity","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0006190811,0.0001678228,0.0004293782,0.0002029445,0.0001718236,0.00008421186,0.0002920947,0.0001181156,0.00009538137],"category_scores_gemma":[0.00008374774,0.0002220998,0.0001794917,0.00008476001,0.00004775637,0.0001469888,0.0001162712,0.00008918867,0.000003182197],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0001943767,"about_ca_system_score_gemma":0.00004476364,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0002520027,"about_ca_topic_score_gemma":0.00118554,"domain_scores_codex":[0.9985431,0.000008870095,0.0006942084,0.0004291054,0.000008987951,0.0003157014],"domain_scores_gemma":[0.9991038,0.0001424624,0.0002274242,0.0004398118,0.00003204281,0.00005441349],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.00004108966,0.00004286506,0.01995451,0.00003852217,0.00006381811,1.075883e-7,0.00013135,0.003030146,0.000001427253,0.9714934,0.001989105,0.00321361],"study_design_scores_gemma":[0.0003041243,0.000008976564,0.0001637048,0.000006296408,0.000003398779,1.877015e-7,0.00002071851,0.6414313,0.00001235125,0.2996866,0.05822326,0.0001391121],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.2887667,0.001029047,0.4840845,0.001585397,0.0009007839,0.0002643393,0.0007741115,0.00009276736,0.2225023],"genre_scores_gemma":[0.9709256,0.0002306249,0.00443946,0.0007974491,0.00009767389,0.00008893442,0.00006810797,0.00002801221,0.02332415],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.6821588,"threshold_uncertainty_score":0.9056968,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.03167989038647522,"score_gpt":0.2268760924496677,"score_spread":0.1951962020631924,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}