Stochastic Volatility and Seasonality in ... - Interconti, Limited

More documents

Recommendations

Info

0.80 0.70 0.60 Implied volatilities 0.50 0.40 0.30 0.20 0.10 0.00 Jan-84 Jan-88 Jan-92 Jan-96 Jan-2000 Figure 2: Time series of implied volatilities on soybean call options. The figure displays the implied volatilities on the at-the-money call option contracts with the shortest (1. Maturity) time to maturity over the full sample period from October 1984 to March 1999. 40
1.00 0.75 0.50 0.25 0.00 - 0.25 α(t) ν(t) frag replacements - 0.50 - 0.75 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Figure 3: The seasonal functions α(t) and ν(t). The figure displays the target seasonal level of convenience yields, α(t), and the seasonal component in the soybean price volatility, ν(t). 41
Page 1 and 2: Stochastic Volatility and Seasonali
Page 3 and 4: 1 Introduction This paper sets up a
Page 5 and 6: The estimated commodity price model
Page 7 and 8: where β, κ, θ, λ P , λ δ , λ
Page 9 and 10: Solutions to the ordinary different
Page 11 and 12: The measurement equation relates th
Page 13 and 14: and, N ˆΓ ∼ W m (N, Γ) where W
Page 15 and 16: where T s and T l refer to the rele
Page 17 and 18: prices seems lower than that of sho
Page 19 and 20: [ INSERT FIGURE 2 ABOUT HERE ] As s
Page 21 and 22: where adverse weather conditions ma
Page 23 and 24: Inverse leverage effects The correl
Page 25 and 26: (with the relevant estimated standa
Page 27 and 28: as well as changes in government po
Page 29 and 30: Besides estimating model parameters
Page 31 and 32: Chambers, M. & Bailey, R. (1996).
Page 33 and 34: Kaldor, N. (1939). “Speculation a
Page 35 and 36: Appendix Lemma 1 Let p t = log P t
Page 37 and 38: Table 2: Summary statistics for soy
Page 39 and 40: Table 4: Parameter estimates for so
Page 41: 1100.00 Futures prices in cents per
Page 45: 2.00 1.50 1.00 0.50 0.00 - 0.50 α

Stochastic Volatility and Seasonality in ... - Interconti, Limited

Create successful ePaper yourself

Delete template?

Save as template?