Volatility Persistence in Commodity Futures:Inventory and Time-to-Delivery Effects

Berna Karali and Walter Thurman

No 37612, 2008 Conference, April 21-22, 2008, St. Louis, Missouri from NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: Most financial asset returns exhibit volatility persistence. We investigate this phenomenon in the context of daily returns in commodity futures markets. We show that the time gap between the arrival of news to the markets and the delivery time of futures contracts is the fundamental variable in explaining volatility persistence in the lumber futures market. We also find an inverse relationship between inventory levels and lumber futures volatility.

Keywords: Agricultural; Finance (search for similar items in EconPapers)
Pages: 22
Date: 2008
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:nccest:37612

DOI: 10.22004/ag.econ.37612

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