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 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.


Issue Date:
2010-08
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/93205
Published in:
Journal of Agricultural and Resource Economics, Volume 35, Number 2
Page range:
167-182
Total Pages:
16




 Record created 2017-04-01, last modified 2017-08-25

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