Measuring the Volatility of Wheat Futures Prices on the LIFFE

P. J. Dawson

Journal of Agricultural Economics, 2015, vol. 66, issue 1, 20-35

Abstract: type="main" xml:id="jage12092-abs-0001">

Agricultural prices rose dramatically in 2007 and have subsequently fluctuated at high levels. This paper estimates the volatility of daily wheat futures prices on the Euronext/London International Financial Futures and Options Exchange for 1996–2012 using an exponential generalised autoregressive conditional heteroscedasticity model with a constant (price) elasticity of variance (CEV) and a broken trend. Results show that volatility is highly persistent; there is a structural break in volatility in June 2007 when volatility rose by 10%; subsequently, the wheat futures price has become more volatile; and the CEV is 0.04.

Date: 2015
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