Measuring the Volatility of Wheat Futures Prices on the  LIFFE | Zendy

Dawson P. J. | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Premium

Measuring the Volatility of Wheat Futures Prices on the LIFFE

Author(s) -

Dawson P. J.

Publication year - 2015

Publication title -

journal of agricultural economics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.157

H-Index - 61

eISSN - 1477-9552

pISSN - 0021-857X

DOI - 10.1111/1477-9552.12092

Subject(s) - futures contract , volatility (finance) , economics , heteroscedasticity , econometrics , autoregressive model , autoregressive conditional heteroskedasticity , futures market , financial economics , volatility swap , monetary economics , implied volatility

Agricultural prices rose dramatically in 2007 and have subsequently fluctuated at high levels. This paper estimates the volatility of daily wheat futures prices on the Euronext/London International Financial Futures and Options Exchange for 1996–2012 using an exponential generalised autoregressive conditional heteroscedasticity model with a constant (price) elasticity of variance ( CEV ) and a broken trend. Results show that volatility is highly persistent; there is a structural break in volatility in June 2007 when volatility rose by 10%; subsequently, the wheat futures price has become more volatile; and the CEV is 0.04.

This content is not available in your region!

Continue researching here.

Having issues? You can contact us here

Accelerating Research