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