Volatility Persistence in Commodity Futures:Inventory and Time-to-Delivery Effects

Most financial asset returns exhibit volatility persistence. We investigate this phenomenon in the context of daily returns in commodity futures markets. We show that the time gap between the arrival of news to the markets and the delivery time of futures contracts is the fundamental variable in explaining volatility persistence in the lumber futures market. We also find an inverse relationship between inventory levels and lumber futures volatility.

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Year of publication:	2008
Authors:	Karali, Berna ; Thurman, Walter N.
Institutions:	Department of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign
Subject:	volatility persistence \| theory of storage \| volatility \| futures markets \| lumber \| Agricultural Finance

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Extent:	application/pdf
Series:	2008 Conference, April 21-22, 2008, St. Louis, Missouri.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series 2008 Conference, April 21-22, 2008, St. Louis, Missouri Number 37612
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005525099