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.
