Components of grain futures price volatility

We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and oats markets from 1986 to 2007. Combining the information from simultaneously traded contracts, a generalized least squares method is implemented that allows us to clearly distinguish among time-to-delivery e...

Full description

Saved in:
Bibliographic Details
Published inJournal of Agricultural and Resource Economics Vol. 35; no. 2; pp. 167 - 182
Main Authors Karali, Berna, Thurman, Walter N
Format Journal Article
LanguageEnglish
Published Logan Western Agricultural Economics Association 01.08.2010
Edition1835
Subjects
Agricultural commodities
agricultural statistics
Corn
Corn prices
crop prices
Crop Production/Industries
equations
Expected values
Farm economics
Futures contracts
Futures market
Futures markets
futures trading
Grains
Inventory
market prices
mathematical models
Oats
Price volatility
Prices
Risk and Uncertainty
Samuelson effect
seasonal variation
Seasonal variations
seasonality
Soybeans
Time series
time to maturity
Volatility
Wheat
United States
Online AccessGet full text

Cover

More Information
Summary:We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and oats markets from 1986 to 2007. Combining the information from simultaneously traded contracts, a generalized least squares method is implemented that allows us to clearly distinguish among time-to-delivery effects, seasonality, calendar trend, and volatility persistence. We find strong evidence of time-to-delivery (Samuelson) effects and systematic seasonal components with volatility increasing prior to harvest times—an indirect confirmation of the theory of storage.
Bibliography:http://agecon.uwyo.edu/JAREonline/default.htm
ISSN:1068-5502
2327-8285
DOI:10.22004/ag.econ.93205