Volatility persistence and inventory effect in grain futures markets: evidence from a recursive model
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Outros Autores: | , , |
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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oai:scielo:S0080-21072017000400403 |
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USP-27 |
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Revista de Administração (São Paulo) |
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|
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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 |
_version_ |
1748936717288603648 |