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Revista de Administração (São Paulo)

versão On-line ISSN 1984-6142

Resumo

SILVEIRA, Rodrigo Lanna Franco da; MACIEL, Leandro dos Santos; MATTOS, Fabio L.  e  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.

Palavras-chave : Price volatility; Volatility persistence; Inventory effect; Grain futures markets.

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