Volatility persistence and inventory effect in grain futures markets: evidence from a recursive model

Detalhes bibliográficos
Autor(a) principal: Silveira,Rodrigo Lanna Franco da
Data de Publicação: 2017
Outros Autores: Maciel,Leandro dos Santos, Mattos,Fabio L., Ballini,Rosangela
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Revista de Administração (São Paulo)
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0080-21072017000400403
Resumo: Abstract The purpose of this paper is to investigate the volatility persistence and the inventory effect in grain futures markets during the period of 1959–2014. The innovative nature of this study lies in the evaluation of rolling estimates, using a recursive univariate TARCH(1,1)-in-mean volatility model. The daily evolution of volatility persistence and the inventory effect on corn and soybean futures contracts is analyzed using a rolling window of 1008 observations over four years. In general, the results suggest that the conditional volatility in both markets is highly persistent. There is also evidence of inventory, time-to-maturity, and seasonality effects on the volatility dynamics of corn and soybeans. In addition, the findings point to a lower short-run volatility persistence in recent years, which caused a slight decrease in long-run volatility persistence and the half-life period in both markets.
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spelling Volatility persistence and inventory effect in grain futures markets: evidence from a recursive modelPrice volatilityVolatility persistenceInventory effectGrain futures marketsAbstract The purpose of this paper is to investigate the volatility persistence and the inventory effect in grain futures markets during the period of 1959–2014. The innovative nature of this study lies in the evaluation of rolling estimates, using a recursive univariate TARCH(1,1)-in-mean volatility model. The daily evolution of volatility persistence and the inventory effect on corn and soybean futures contracts is analyzed using a rolling window of 1008 observations over four years. In general, the results suggest that the conditional volatility in both markets is highly persistent. There is also evidence of inventory, time-to-maturity, and seasonality effects on the volatility dynamics of corn and soybeans. In addition, the findings point to a lower short-run volatility persistence in recent years, which caused a slight decrease in long-run volatility persistence and the half-life period in both markets.Departamento de Administração da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo2017-12-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0080-21072017000400403Revista de Administração (São Paulo) v.52 n.4 2017reponame:Revista de Administração (São Paulo)instname:Universidade de São Paulo (USP)instacron:USP10.1016/j.rausp.2017.08.003info:eu-repo/semantics/openAccessSilveira,Rodrigo Lanna Franco daMaciel,Leandro dos SantosMattos,Fabio L.Ballini,Rosangelaeng2017-11-27T00:00:00Zoai:scielo:S0080-21072017000400403Revistahttp://rausp.usp.br/PUBhttps://old.scielo.br/oai/scielo-oai.phprausp@usp.br||reinhard@usp.br1984-61420080-2107opendoar:2017-11-27T00:00Revista de Administração (São Paulo) - Universidade de São Paulo (USP)false
dc.title.none.fl_str_mv Volatility persistence and inventory effect in grain futures markets: evidence from a recursive model
title Volatility persistence and inventory effect in grain futures markets: evidence from a recursive model
spellingShingle Volatility persistence and inventory effect in grain futures markets: evidence from a recursive model
Silveira,Rodrigo Lanna Franco da
Price volatility
Volatility persistence
Inventory effect
Grain futures markets
title_short Volatility persistence and inventory effect in grain futures markets: evidence from a recursive model
title_full Volatility persistence and inventory effect in grain futures markets: evidence from a recursive model
title_fullStr Volatility persistence and inventory effect in grain futures markets: evidence from a recursive model
title_full_unstemmed Volatility persistence and inventory effect in grain futures markets: evidence from a recursive model
title_sort Volatility persistence and inventory effect in grain futures markets: evidence from a recursive model
author Silveira,Rodrigo Lanna Franco da
author_facet Silveira,Rodrigo Lanna Franco da
Maciel,Leandro dos Santos
Mattos,Fabio L.
Ballini,Rosangela
author_role author
author2 Maciel,Leandro dos Santos
Mattos,Fabio L.
Ballini,Rosangela
author2_role author
author
author
dc.contributor.author.fl_str_mv Silveira,Rodrigo Lanna Franco da
Maciel,Leandro dos Santos
Mattos,Fabio L.
Ballini,Rosangela
dc.subject.por.fl_str_mv Price volatility
Volatility persistence
Inventory effect
Grain futures markets
topic Price volatility
Volatility persistence
Inventory effect
Grain futures markets
description Abstract The purpose of this paper is to investigate the volatility persistence and the inventory effect in grain futures markets during the period of 1959–2014. The innovative nature of this study lies in the evaluation of rolling estimates, using a recursive univariate TARCH(1,1)-in-mean volatility model. The daily evolution of volatility persistence and the inventory effect on corn and soybean futures contracts is analyzed using a rolling window of 1008 observations over four years. In general, the results suggest that the conditional volatility in both markets is highly persistent. There is also evidence of inventory, time-to-maturity, and seasonality effects on the volatility dynamics of corn and soybeans. In addition, the findings point to a lower short-run volatility persistence in recent years, which caused a slight decrease in long-run volatility persistence and the half-life period in both markets.
publishDate 2017
dc.date.none.fl_str_mv 2017-12-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0080-21072017000400403
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0080-21072017000400403
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1016/j.rausp.2017.08.003
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Departamento de Administração da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo
publisher.none.fl_str_mv Departamento de Administração da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo
dc.source.none.fl_str_mv Revista de Administração (São Paulo) v.52 n.4 2017
reponame:Revista de Administração (São Paulo)
instname:Universidade de São Paulo (USP)
instacron:USP
instname_str Universidade de São Paulo (USP)
instacron_str USP
institution USP
reponame_str Revista de Administração (São Paulo)
collection Revista de Administração (São Paulo)
repository.name.fl_str_mv Revista de Administração (São Paulo) - Universidade de São Paulo (USP)
repository.mail.fl_str_mv rausp@usp.br||reinhard@usp.br
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