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Time Series Volatility Commodity Futures Prices

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  • Ian Tonks
  • Jane Black

Abstract

This paper examines the pattern of volatility over time of a series of commodity futures prices, and focuses in particular on the futures price variability as the maturity date of the futures contract approaches. Ina rational expectations model of asymmetric information, the paper provides conditions under which the Samuelson hypothesis - that the variability of futures prices increases as maturity approaches - will be true.

Suggested Citation

  • Ian Tonks & Jane Black, 1999. "Time Series Volatility Commodity Futures Prices," FMG Discussion Papers dp331, Financial Markets Group.
    • Handle: RePEc:fmg:fmgdps:dp331
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    References listed on IDEAS

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    1. Nabil Khoury & Pierre Yourougou, 1993. "Determinants of agricultural futures price volatilities: Evidence from winnipeg commodity exchange," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(4), pages 345-356, June.
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    Cited by:

    1. Berna Karali & Walter N. Thurman, 2009. "Announcement effects and the theory of storage: an empirical study of lumber futures," Agricultural Economics, International Association of Agricultural Economists, vol. 40(4), pages 421-436, July.
    2. Madarassy Akin, Rita, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Center for International Economics, Working Paper Series qt1n04g31b, Center for International Economics, UC Santa Cruz.
    3. Madarassy Akin, Rita, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Department of Economics, Working Paper Series qt1n04g31b, Department of Economics, UC Santa Cruz.
    4. Isita Mukherjee & Bhaskar Goswami, 2017. "The volatility of returns from commodity futures: evidence from India," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-23, December.
    5. Berna Karali & Gabriel J. Power, 2013. "Short- and Long-Run Determinants of Commodity Price Volatility," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 95(3), pages 724-738.

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