SciELO - Scientific Electronic Library Online

 
vol.52 issue4Resistance and organized counter-resistance in conflict areas: an ethnography with Embraer's workersConsumer behavior of electronic games' players: a study on the intentions to play and to pay author indexsubject indexarticles search
Home Pagealphabetic serial listing  

Services on Demand

Journal

Article

Indicators

Related links

Share


Revista de Administração (São Paulo)

On-line version ISSN 1984-6142

Abstract

SILVEIRA, Rodrigo Lanna Franco da; MACIEL, Leandro dos Santos; MATTOS, Fabio L.  and  BALLINI, Rosangela. Volatility persistence and inventory effect in grain futures markets: evidence from a recursive model. Rev. Adm. (São Paulo) [online]. 2017, vol.52, n.4, pp.403-418. ISSN 1984-6142.  http://dx.doi.org/10.1016/j.rausp.2017.08.003.

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. 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.

Keywords : Price volatility; Volatility persistence; Inventory effect; Grain futures markets.

        · abstract in Portuguese | Spanish     · text in English     · English ( pdf )