This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

A systematic modelling strategy for futures markets volatility

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Ana Filipa Carvalho
José Sá da Costa
José Assis Lopes
Abstract

Over the past decade, econometric modelling of the volatility clustering phenomenon has been a very active area of research and several new approaches have been proposed and tested. Given the ever greater role of futures markets in risk management in modern economic theory, it seems advisable to formulate a systematic methodology for modelling these financial tools. In this paper, using soybean futures data, a systematic modelling strategy is proposed that takes into account the various aspects that should be incorporated in a bona fide volatility model. Several volatility models are analysed and compared in terms of their in-sample fit adequacy and predictive ability. Special attention is devoted to the asymmetric effect that the arrival of news may have on volatility. The proposed approach is sufficiently broad to be applied to other futures markets.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://taylorandfrancis.metapress.com/link.asp?target=contribution&id=G74142325V852211
File Format: text/html
File Function:
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Financial Economics.

Volume (Year): 16 (2006)
Issue (Month): 11 (July)
Pages: 819-833
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:taf:apfiec:v:16:y:2006:i:11:p:819-833

Contact details of provider:
Web page: http://www.tandf.co.uk/journals/routledge/09603107.html

Order Information:
Web: http://www.tandf.co.uk/journals/subscription.html

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Blair, Bevan J. & Poon, Ser-Huang & Taylor, Stephen J., 2001. "Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 5-26, November. [Downloadable!] (restricted)
  2. Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation, Yale University, revised Sep 1987. [Downloadable!]
    Other versions:
  3. Tim Bollerslev & Jeffrey Wooldridge, 1992. "Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances," Econometric Reviews, Taylor and Francis Journals, vol. 11(2), pages 143-172. [Downloadable!] (restricted)
  4. Tim Bollerslev & Jeffrey M. Wooldridge, 1988. "Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances," Working papers 505, Massachusetts Institute of Technology (MIT), Department of Economics.
  5. Sentana,E., 1995. "Quadratic Arch Models," Papers 9517, Centro de Estudios Monetarios Y Financieros-.
    Other versions:
  6. Fornari, Fabio & Mele, Antonio, 1997. "Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(1), pages 49-65, Jan.-Feb.. [Downloadable!]
    Other versions:
  7. Torben G. Andersen & Tim Bollerslev, 1998. "Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," Journal of Finance, American Finance Association, vol. 53(1), pages 219-265, 02. [Downloadable!] (restricted)
  8. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
  9. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December. [Downloadable!] (restricted)
    Other versions:
  10. Blair, Bevan J. & Poon, Ser-Huang & Taylor, Stephen J., 2001. "Modelling S&P 100 volatility: The information content of stock returns," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1665-1679, September. [Downloadable!] (restricted)
  11. Andersen, Torben G. & Bollerslev, Tim & Cai, Jun, 2000. "Intraday and interday volatility in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 107-130, June. [Downloadable!] (restricted)
  12. Geert Bekaert & Guojun Wu, 1997. "Asymmetric Volatility and Risk in Equity Markets," NBER Working Papers 6022, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  13. Jiang, Christine & Chiang, Thomas C, 2000. "Do Foreign Exchange Risk Premiums Relate to the Volatility in the Foreign Exchange and Equity Markets?," Applied Financial Economics, Taylor and Francis Journals, vol. 10(1), pages 95-104, February. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? IDEAS is not the only service displaying RePEc data. Choose on RePEc which service fits your needs best.

This page was last updated on 2008-10-6.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.