Volatility Persistence in Commodity Futures:Inventory and Time-to-Delivery Effects
AbstractMost 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.
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Bibliographic InfoPaper provided by NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management in its series 2008 Conference, April 21-22, 2008, St. Louis, Missouri with number 37612.
Date of creation: 2008
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volatility persistence; theory of storage; volatility; futures markets; lumber; Agricultural Finance;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-12-14 (All new papers)
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