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FUTURES PRICE VOLATILITY: MODELING NON-CONSTANT VARIANCE

Paul Fackler ()

No 278172, 1986 Annual Meeting, July 27-30, Reno, Nevada from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: A model is developed in which price variance is treated as a function of a deterministic seasonal component and a stochastic component which is conditional on past price changes. When applied to the corn futures market, both components are found to be significant. Implications for option pricing models are discussed.

Keywords: Crop Production/Industries; Demand and Price Analysis (search for similar items in EconPapers)
Pages: 15
Date: 1986-07
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Citations: View citations in EconPapers (3) Track citations by RSS feed

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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea86:278172

DOI: 10.22004/ag.econ.278172

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