Components of Grain Futures Price Volatility

Berna Karali and Walter Thurman

Journal of Agricultural and Resource Economics, 2010, vol. 35, issue 2, 16

Abstract: 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.

Keywords: Crop Production/Industries; Risk and Uncertainty (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:jlaare:93205

DOI: 10.22004/ag.econ.93205

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