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Principal component volatility analysis in agricultural commodity futures

Anthony Rezitis ()

Applied Economics Letters, 2020, vol. 27, issue 16, 1327-1333

Abstract: In this article, we apply Hu and Tsay’s (2014) principal component volatility (PVC) analysis to the weekly log returns of nine agricultural commodity futures from May 2005 to March 2019. The empirical results yield nine estimated PVC processes, one of which has no ARCH effects according to the statistical tests.

Date: 2020
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DOI: 10.1080/13504851.2019.1678727

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Handle: RePEc:taf:apeclt:v:27:y:2020:i:16:p:1327-1333