FUTURES PRICE VOLATILITY: MODELING NON-CONSTANT VARIANCE

A model is developed in which price variance is treated as a function of a deterministic seasonal component and a stochastic component which is conditional on past price changes. When applied to the corn futures market, both components are found to be significant. Implications for option pricing models are discussed.


Issue Date:
1986-07
Publication Type:
Conference Paper/ Presentation
DOI and Other Identifiers:
Record Identifier:
https://ageconsearch.umn.edu/record/278172
Language:
English
Total Pages:
15




 Record created 2018-10-12, last modified 2020-10-28

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