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Provedor de dados:  AgEcon
País:  United States
Título:  Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options
Autores:  Egelkraut, Thorsten M.
Garcia, Philip
Data:  2005-11-03
Ano:  2005
Palavras-chave:  Marketing
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.
Tipo:  Conference Paper or Presentation
Idioma:  Inglês
Identificador:  18849
Editor:  AgEcon Search
Relação:  NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management>2005 Conference, St. Louis, MO, April 18-19, 2005
2005 Conference, St. Louis, MO, April 18-19, 2005
Formato:  21


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