Abstract

http://ssrn.com/abstract=1456555
 


 



Delivery Horizon and Grain Market Volatility


Berna Karali


University of Georgia

Jeffrey H. Dorfman


University of Georgia

Walter N. Thurman


North Carolina State University; PERC - Property and Environment Research Center

November 10, 2009

Journal of Futures Markets, Forthcoming

Abstract:     
We study the difference in the volatility dynamics of CBOT corn, soybeans, and oats futures prices across different delivery horizons via a smoothed Bayesian estimator. We find that futures price volatilities in these markets are affected by inventories, time to delivery, and the crop progress period and that there are important differences in the effects across delivery horizons. We also find that price volatility is higher before the harvest starts in most cases compared to the volatility during the planting period. These results have implications for hedging, options pricing, and the setting of margin requirements.

Keywords: Bayesian econometrics, futures markets, seasonality, theory of storage, volatility

JEL Classification: C11, G10, Q14

Accepted Paper Series


Not Available For Download

Date posted: August 18, 2009 ; Last revised: April 12, 2012

Suggested Citation

Karali, Berna and Dorfman, Jeffrey H. and Thurman, Walter N., Delivery Horizon and Grain Market Volatility (November 10, 2009). Journal of Futures Markets, Forthcoming. Available at SSRN: http://ssrn.com/abstract=1456555

Contact Information

Berna Karali (Contact Author)
University of Georgia ( email )
Athens, GA 30602
United States
Jeffrey H. Dorfman
University of Georgia ( email )
Department of Economics
Athens, GA 30602-6254
United States
Walter N. Thurman
North Carolina State University ( email )
Raleigh, NC 27695
United States
PERC - Property and Environment Research Center
2048 Analysis Drive
Suite A
Bozeman, MT 59718
United States

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