Premium
Returns and volatility in the Kuala Lumpur crude
Author(s) -
Liew Keng Yap,
Brooks Robert
Publication year - 1998
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/(sici)1096-9934(199812)18:8<985::aid-fut6>3.0.co;2-5
Subject(s) - kuala lumpur , volatility (finance) , economics , financial economics , autoregressive conditional heteroskedasticity , econometrics , futures contract , futures market , business , marketing
This article investigates the determinants of daily returns and volatility in the Kuala Lumpur crude palm oil futures market over the period 1980 to 1994. We find significant evidence of month and open interest effects in returns and also find strong evidence of daily, monthly, yearly, volume and open interest effects in volatility when ARCH/ GARCH models are used to estimate volatility. © 1998 John Wiley & Sons, Inc. Jrl Fut Mark 18:985–999, 1998