Data · dataset · 2017
Volatility persistence and inventory effect in grain futures markets: evidence from a recursive model
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Description
Abstract
The purpose of this paper is to investigate the volatility persistence and the inventory effect in grain futures markets during the period of 1959–2014. The innovative nature of this study lies in the evaluation of rolling estimates, using a recursive univariate TARCH(1,1)-in-mean volatility model. The daily evolution of volatility persistence and the inventory effect on corn and soybean futures contracts is analyzed using a rolling window of 1008 observations over four years.
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In general, the results suggest that the conditional volatility in both markets is highly persistent. There is also evidence of inventory, time-to-maturity, and seasonality effects on the volatility dynamics of corn and soybeans. In addition, the findings point to a lower short-run volatility persistence in recent years, which caused a slight decrease in long-run volatility persistence and the half-life period in both markets.
Links
Where it is published
- Repository landing page scielo.figshare.com/articles/dataset/Volatility_persistence_and_inventory_effect_i… ↗
landing page · from DataCite
- DOI doi.org/10.6084/m9.figshare.5667682.v1 ↗
DOI / persistent id · from DataCite
Documentation and papers
- Creative Commons Attribution 4.0 International creativecommons.org/licenses/by/4.0/legalcode ↗
license · from DataCite
- IsSupplementTo 10.1016/j.rausp.2017.08.003 doi.org/10.1016/j.rausp.2017.08.003 ↗
publication · from DataCite
Catalogue records · 2
- DataCite API api.datacite.org/dois/10.6084/m9.figshare.5667682.v1 ↗
metadata API · from DataCite
- DataCite Commons commons.datacite.org/doi.org/10.6084/m9.figshare.5667682.v1 ↗
catalogue entry · from DataCite
Topics
- Stated by source
- Economics and business
- Inferred from text
- Econometrics 74%
Related
Provenance · 1 source records, 10 field assertions
| Source | Key | Last seen | Raw |
|---|---|---|---|
| DataCite | 10.6084/m9.figshare.5667682.v1 | 13 d ago | JSON v1 |
| Field | Assertion | Extractor | Evidence |
|---|---|---|---|
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| concepts[field].anzsrc:group:3802 | enrichment · DataCite | taxonomy-embedding@1.1.0 | title+keywords+description (74%) |
| concepts[field].fos:economics-and-business | source · DataCite | connector:datacite@1.0.0 | |
| created_date | source · DataCite | connector:datacite@1.0.0 | |
| description | source · DataCite | connector:datacite@1.0.0 | /data/attributes/descriptions |
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| title | source · DataCite | connector:datacite@1.0.0 | /data/attributes/titles/0/title |
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