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The distribution of standardized futures price changes

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  • Meenakshi Venkateswaran
  • B. Wade Brorsen
  • Joyce A. Hall

Abstract

The observed non-normality of futures price changes has been attributed to non-constant variance. This paper tests whether the non-normality is due to changing variances or additional factors. The data are adjusted for heteroskedasticity and the stability-under-addition test of stable distributions performed on the original and the rescaled data sets. Rescaled data are less leptokurtic than the original data, but the rescaled data are still not normal. Thus, factors other than changing variance may also be responsible for the observed leptokurticity of daily futures returns.
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Suggested Citation

  • Meenakshi Venkateswaran & B. Wade Brorsen & Joyce A. Hall, 1993. "The distribution of standardized futures price changes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(3), pages 279-298, May.
    • Handle: RePEc:wly:jfutmk:v:13:y:1993:i:3:p:279-298
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    Cited by:

    1. Isengildina-Massa, Olga & Cao, Xiang & Karali, Berna & Irwin, Scott H. & Adjemian, Michael & Johansson, Robert C., 2021. "When does USDA information have the most impact on crop and livestock markets?," Journal of Commodity Markets, Elsevier, vol. 22(C).
    2. Motengwe, Chris & Alagidede, Paul, 2016. "Maturity Effects in Futures Contracts on the SAFEX Market," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 55(4), December.
    3. Michael K Adjemian & Robert Johansson & Andrew McKenzie & Michael Thomsen, 2018. "Was the Missing 2013 WASDE Missed?," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 40(4), pages 653-671, December.
    4. Ram Bhar, 1994. "Modelling Yen Futures Return Using Daily Data From IMM and Simex," Working Paper Series 39, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    5. Raymond Knott & Marco Polenghi, 2006. "Assessing central counterparty margin coverage on futures contracts using GARCH models," Bank of England working papers 287, Bank of England.

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