Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
نویسندگان
چکیده
منابع مشابه
The volatility of returns from commodity futures: evidence from India
Methods: One commodity future from each group of futures is chosen for the analysis. The select commodities are potato, gold, crude oil, and mentha oil. The data are collected from MCX India over the period 2004–2012. This study uses several econometric techniques for the analysis. The GARCH model is introduced for examining the volatility of commodity futures. One of the key contributions of t...
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Asia is presently the most important market for the production and consumption of natural rubber. World prices of rubber are not only subject to changes in demand, but also to speculation regarding future markets. Japan and Singapore are the major futures markets for rubber, while Thailand is one of the world's largest producers of rubber. As rubber prices are influenced by external markets, it...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1491890