Volatility Persistence in Commodity Futures:Inventory and Time-to-Delivery Effects

Most financial asset returns exhibit volatility persistence. We investigate this phenomenon in the context of daily returns in commodity futures markets. We show that the time gap between the arrival of news to the markets and the delivery time of futures contracts is the fundamental variable in explaining volatility persistence in the lumber futures market. We also find an inverse relationship between inventory levels and lumber futures volatility.


Issue Date:
2008
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/37612
Total Pages:
22
Series Statement:
2008 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management




 Record created 2017-04-01, last modified 2017-10-22

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