Does Futures Price Volatility Differ Across Delivery Horizon?

Berna Karali, Jeffrey Dorfman () and Walter Thurman

No 53036, 2009 Conference, April 20-21, 2009, St. Louis, Missouri from NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: We study the difference in the volatility dynamics of CBOT corn, soybeans, and oats futures prices across different delivery horizons via the smoothed Bayesian estimator of Karali, Dorfman, and Thurman (2010). We show that the futures price volatilities in these markets are affected by the inventories, time to delivery, and the crop progress period. Some of these effects vary across delivery horizons. Further, it is shown that the price volatility is higher before the harvest starts in most of the cases compared to the volatility during the planting period. These results have implications for hedging, options pricing, and the setting of margin requirements.

Keywords: Agribusiness; Agricultural and Food Policy; Agricultural Finance; Consumer/Household Economics; Demand and Price Analysis; Farm Management; Financial Economics; Marketing; Research Methods/Statistical Methods; Risk and Uncertainty (search for similar items in EconPapers)
Pages: 35
Date: 2009-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://ageconsearch.umn.edu/record/53036/files/confp02-09.pdf (application/pdf)

Related works:
Journal Article: Delivery horizon and grain market volatility (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:nccc09:53036

DOI: 10.22004/ag.econ.53036

Access Statistics for this paper

More papers in 2009 Conference, April 20-21, 2009, St. Louis, Missouri from NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().