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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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
Date of revision:
Contact details of provider:
Postal: 326 Mumford Hall, MC-710, 1301 West Gregory Drive, Urbana, Illinois, 61801
Phone: (217) 333-1810
Fax: (217) 333-5538
Web page: http://www.farmdoc.uiuc.edu/nccc134/
More information through EDIRC
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)
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.:
- Ng, Victor K & Pirrong, Stephen Craig, 1994. "Fundamentals and Volatility: Storage, Spreads, and the Dynamics of Metals Prices," The Journal of Business, University of Chicago Press, vol. 67(2), pages 203-30, April.
- Engle, Robert F, 1998. "Macroeconomic Announcements and Volatility of Treasury Futures," University of California at San Diego, Economics Working Paper Series qt7rd4g3bk, Department of Economics, UC San Diego.
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
- Berna Karali & Walter N. Thurman, 2009.
"Announcement effects and the theory of storage: an empirical study of lumber futures,"
International Association of Agricultural Economists, vol. 40(4), pages 421-436, 07.
- Karali, Berna & Thurman, Walter N., 2007. "Announcement Effects and the Theory of Storage: An Empirical Study of Lumber Futures," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 9865, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
- Power, Gabriel J. & Turvey, Calum G., 2008. "On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37608, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).
If references are entirely missing, you can add them using this form.