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.
CITATION STYLE
Silveira, R. L. F. da, Maciel, L. dos S., Mattos, F. L., & Ballini, R. (2017). Volatility persistence and inventory effect in grain futures markets: evidence from a recursive model. Revista de Administração, 52(4), 403–418. https://doi.org/10.1016/j.rausp.2017.08.003
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