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Realized Volatility in the Agricultural Futures Market

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  • Wang, Yuanfang
  • Roberts, Matthew C.

Abstract

Users of agricultural markets always need to establish accurate representations of future volatility. This paper investigates the properties of realized volatility in the soybean futures market. The results indicate that the distributional properties of realized volatility based on 5-minute returns largely correspond with existing literature. The findings of three volatility measures confirm that the Mixture of Distributions Hypothesis (MDH) is valid. In contrast, the standardized daily returns display some different properties compared with stock and exchange rate data. Moreover, the parametric ARFIMA and GARCH models reflect same patterns as described in nonparametric analysis.

Suggested Citation

  • Wang, Yuanfang & Roberts, Matthew C., 2005. "Realized Volatility in the Agricultural Futures Market," 2005 Annual meeting, July 24-27, Providence, RI 19211, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea05:19211
    DOI: 10.22004/ag.econ.19211
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    References listed on IDEAS

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    Cited by:

    1. Huang, Wen & Huang, Zhuo & Matei, Marius & Wang, Tianyi, 2012. "Price Volatility Forecast for Agricultural Commodity Futures： The Role of High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 83-103, December.

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