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Testing for Volatility Changes in Grain Markets

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  • Wu, Feng

Abstract

We use newly nonparametric volatility measures and break techniques to estimate common breaks across grain futures over the recent ten years. Our results show one structural change in realized volatilities occurred in 2006 for corn and in 2007 for soybean. But the date difference between them cannot be negligible. We disaggregate the realized volatilities into a continuous component and a jump part and found the source of structural beak in realized volatilities is from jumps.

Suggested Citation

  • Wu, Feng, 2011. "Testing for Volatility Changes in Grain Markets," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103388, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea11:103388
    DOI: 10.22004/ag.econ.103388
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    Cited by:

    1. Todorova, Neda & Worthington, Andrew & Souček, Michael, 2014. "Realized volatility spillovers in the non-ferrous metal futures market," Resources Policy, Elsevier, vol. 39(C), pages 21-31.
    2. Todorova, Neda, 2015. "The course of realized volatility in the LME non-ferrous metal market," Economic Modelling, Elsevier, vol. 51(C), pages 1-12.

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    Financial Economics;

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