The Jump Size Distribution of the Commodity Spot Price and Its Effect on Futures and Option Prices

Table 1

RMSE and PRMSE for the out-of-sample (January–July 2015) for DM, JDMN, and JDMExp models.

	RMSE			PRMSE
	DM	JDMN	JDMExp	DM	JDMN	JDMExp
F1	0.1582	0.1362	0.1398	5.7376	4.9326	5.0514
F6	0.1636	0.1744	0.1893	5.4787	5.9201	6.4430
F9	0.1472	0.1162	0.1531	4.5256	3.6732	4.9852
F12	0.2113	0.1529	0.1590	6.2670	4.6156	5.1349
F18	0.2651	0.2012	0.1466	7.7642	5.8706	4.5386
F24	0.3757	0.3172	0.2176	10.3069	8.6277	6.0603
F30	0.3826	0.3141	0.1630	10.7959	8.8260	4.5345
F36	0.4753	0.4199	0.3126	12.4319	10.8809	8.0727
F42	0.4295	0.3661	0.2254	11.8569	10.0716	6.1337
F44	0.5065	0.4413	0.2953	13.7741	11.9909	7.9929