Wheat price volatility regimes over 140 years: An analysis of daily price ranges

Marco Haase, Heinz Zimmermann and Matthias Huss

Journal of Commodity Markets, 2023, vol. 31, issue C

Abstract: We analyze Chicago based daily wheat price volatility over more than 140 years using a novel data set of daily high and low futures prices starting in 1877. We identify five long-run regimes and find that volatility shifts between regimes are statistically more pronounced than fluctuations within regimes, even when conditioning on economic states. Historical volatility estimates derived from average commodity price data, a common practice in empirical studies, exhibit a regime-dependent upward bias between 0% and 22%. The magnitude of the bias and the importance of regimes potentially explain contradictory findings on volatility patterns in earlier studies.

Keywords: Commodity futures volatility; Wheat futures; Historical price analysis; Structural volatility breaks (search for similar items in EconPapers)
JEL-codes: C58 E30 G13 N21 N51 Q02 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000363

DOI: 10.1016/j.jcomm.2023.100346

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