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Determinants of futures price volatility of storable agricultural commodities: The case of cotton

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KHAN-THESIS-2014.pdf (739.9Kb)
Fecha
2014-12
Autor
Khan, Bushra Ferdous
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Resumen
This thesis empirically analyzes how the volatility of cotton futures is affected by the factors hypothesized in the literature to impact the volatility of agricultural futures prices.Parameter estimates of a GARCH (1,1) model reveal presence of strong ARCH and GARCH effects and significant volatility persistence. Stocks-to-use ratio, price level, market concentration in long positions and market concentration in short positions are identified to be statistically significant determinants of cotton futures price volatility.
URI
http://hdl.handle.net/2346/60686
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  • Electronic Theses and Dissertations

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