| Registro completo |
| Provedor de dados: |
31
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| País: |
United States
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| Título: |
Realized Volatility in the Agricultural Futures Market
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| Autores: |
Wang, Yuanfang
Roberts, Matthew C.
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| Data: |
2005-05-17
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| Ano: |
2005
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| Palavras-chave: |
Realized volatility
GARCH models
ARFIMA models
Distribution
Marketing
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| Resumo: |
Users of agricultural markets always need to establish accurate representations of future volatility. This paper investigates the properties of realized volatility in the soybean futures market. The results indicate that the distributional properties of realized volatility based on 5-minute returns largely correspond with existing literature. The findings of three volatility measures confirm that the Mixture of Distributions Hypothesis (MDH) is valid. In contrast, the standardized daily returns display some different properties compared with stock and exchange rate data. Moreover, the parametric ARFIMA and GARCH models reflect same patterns as described in nonparametric analysis.
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| Tipo: |
Conference Paper or Presentation
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| Idioma: |
Inglês
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| Identificador: |
16430
http://purl.umn.edu/19211
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| Editor: |
AgEcon Search
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| Relação: |
American Agricultural Economics Association>2005 Annual meeting, July 24-27, Providence, RI
Selected Paper 136689
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| Formato: |
35
application/pdf
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