| Registro completo |
| Provedor de dados: |
AgEcon
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| País: |
United States
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| Título: |
Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options
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| Autores: |
Egelkraut, Thorsten M.
Garcia, Philip
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| Data: |
2007-09-17
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| Ano: |
2006
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| Palavras-chave: |
Agricultural commodity
Efficiency
Forecasts
Implied forward volatility
Options
Marketing
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| Resumo: |
Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals. Using five commodities with varying characteristics, we find that the implied forward volatility dominates forecasts based on historical volatility information, but that the predictive accuracy is affected by the commodity's characteristics. Unbiased and efficient corn and soybeans market forecasts are attributable to the well-established volatility during crucial growing periods. For soybean meal, wheat, and hogs, volatility is less predictable and investors appear to demand a risk premium for bearing volatility risk.
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| Tipo: |
Journal Article
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| Idioma: |
Inglês
|
| Identificador: |
28008
http://purl.umn.edu/8637
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| Editor: |
AgEcon Search
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| Relação: |
Journal of Agricultural and Resource Economics>Volume 31, Number 03, December 2006
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| Formato: |
21
application/pdf
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