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Commodity volatility breaks

  • Vivian, Andrew
  • Wohar, Mark E.

Volatility is a key determinant of derivative prices and optimal hedge ratios. This paper examines whether there are structural breaks in commodity spot return volatility using an iterative cumulative sum of squares procedure and then uses GARCH (1,1) to model volatility during each regime.

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Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

Volume (Year): 22 (2012)
Issue (Month): 2 ()
Pages: 395-422

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Handle: RePEc:eee:intfin:v:22:y:2012:i:2:p:395-422
Contact details of provider: Web page: http://www.elsevier.com/locate/intfin

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