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

0.50
0.25
0.00
ν 1 (t)
ν 2 (t)
ν(t)
- 0.25
frag replacements
- 0.50
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Figure 4: The three volatility seasonal functions ν(t), ν 1 (t), and ν 2 (t). The figure
displays the seasonal component in the soybean price volatility for the full sample, ν(t), the
first sub-period, ν 1 (t), and the second sub-period, ν 2 (t)
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