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Fractional integration in agricultural futures price volatilities revisited
Author(s) -
Sephton Peter S.
Publication year - 2009
Publication title -
agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.29
H-Index - 82
eISSN - 1574-0862
pISSN - 0169-5150
DOI - 10.1111/j.1574-0862.2008.00363.x
Subject(s) - futures contract , economics , leverage (statistics) , econometrics , heteroscedasticity , financial economics , volatility (finance) , mathematics , statistics
Jin and Frechette (2004) examined the degree to which agricultural price volatilities exhibited evidence of fractional integration and concluded it was important to consider both long‐run and short‐run memory when modeling conditional variances. The purpose of this note is to revisit the issue using new methods and techniques which generally reaffirm the view that return volatilities are fractionally integrated and conditionally heteroskedastic, with many exhibiting significant leverage effects, a result not previously reported.