We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Persistence of volatility in futures markets.
- Authors
Chen, Zhiyao; Daigler, Robert T.; Parhizgari, Ali M.
- Abstract
This article examines the characteristics of key measures of volatility for different types of futures contracts to provide a better foundation for modeling volatility behavior and derivative values. Particular attention is focused on analyzing how different measures of volatility affect volatility persistence relationships. Intraday realized measures of volatility are found to be more persistent than daily measures, the type of GARCH procedure used for conditional volatility analysis is critical, and realized volatility persistence is not coherent with conditional volatility persistence. Specifically, although there is a good fit between the realized and conditional volatilities, no coherence exists between their degrees of persistence, a counterintuitive finding that shows realized and conditional volatility measures are not a substitute for one another. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:571–594, 2006
- Subjects
RISK management in business; MARKET volatility; MARKETS; FINANCIAL markets; COMMODITY futures
- Publication
Journal of Futures Markets, 2006, Vol 26, Issue 6, p571
- ISSN
0270-7314
- Publication type
Article
- DOI
10.1002/fut.20210