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Determinants Of Silver Futures Price Volatility: Evidence From The Thailand Futures Exchange

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  • Woradee Jongadsayakul

Abstract

This research studies determinants of silver futures price volatility in Thailand Futures Exchange using generalized autoregressive conditional heteroskedasticity model. The sample data consist of daily closing price, volume, and open interest of silver futures from the period June 21, 2011 to December 26, 2012 for the nearby month contract with 376 sample data points. I construct data sample by switching or rolling over to the next maturing contract one day before the expiration date. The empirical results reveal there is no significant relationship between volatility and time to expiration. There are a negative role for trading volume and a positive role for open interest in determining silver futures price volatility. The analysis of silver futures price volatility insists the Clearing House that margin requirements for silver futures should not be affected as the time to maturity of the contract decreases. The findings are also helpful to risk managers dealing with silver futures and predicting silver futures price volatility

Suggested Citation

  • Woradee Jongadsayakul, 2015. "Determinants Of Silver Futures Price Volatility: Evidence From The Thailand Futures Exchange," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(4), pages 81-87.
    • Handle: RePEc:ibf:ijbfre:v:9:y:2015:i:4:p:81-87
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    References listed on IDEAS

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    Cited by:

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    More about this item

    Keywords

    Futures Price Volatility; Silver Futures; Samuelson Hypothesis;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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