Show simple item record

dc.creatorKhan, Bushra Ferdous
dc.date.accessioned2015-01-21T15:18:28Z
dc.date.available2015-01-21T15:18:28Z
dc.date.issued2014-12
dc.identifier.urihttp://hdl.handle.net/2346/60686
dc.description.abstractThis 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.
dc.format.mimetypeapplication/pdf
dc.subjectDeterminants of volatility
dc.subjectCotton
dc.subjectGARCH model
dc.titleDeterminants of futures price volatility of storable agricultural commodities: The case of cotton
dc.typeThesis
dc.type.materialtext
thesis.degree.nameMaster of Science
thesis.degree.levelMasters
thesis.degree.disciplineAgricultural and Applied Economics
thesis.degree.grantorTexas Tech University
thesis.degree.departmentAgricultural Applied Economics
dc.contributor.committeeMemberKnight, Thomas O.
dc.contributor.committeeMemberChidmi, Benaissa
dc.contributor.committeeChairRahman, Shaikh M.
dc.rights.availabilityUnrestricted.


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record