Harvest contract price volatility for cotton

Article Abstract:

The prevalence of price volatility in the cotton industry appear to undergo a seasonal pattern, as suggested by the result of a harvest contract price analysis. By using a variety of econometric techniques it was shown that a number of seasonal parameters, including temperature and loan rate, create substantial marginal impact on the price volatility of cotton. Maximum likelihood procedures did not confirm the assumption that changes in farm policies lead to a marked level of price volatility. This result, however, does not apply to all circumstances, since certain components of policy exhibited positive correlation with farm income volatility. A mean-reverting relationship in the cotton market was also established, implying that volatility and price are bounded by a nonlinear correlation.

Cotton, Cotton Farming, Economic aspects, Prices, Agricultural policy, Cotton (Fiber), Cotton industry, Cotton trade

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Forecasting performance of extreme-value volatility estimators

Article Abstract:

The forecasting performance of extreme-value volatility estimators for the Nifty Index was studied using five years of Nifty Index data. The use of extreme-value volatility estimators led to better forecasting performance compared to the use of historical volatility.

India, Financial Forecasting, Forecasting, Methods, Measurement, Business forecasting, Report

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Is volatility risk priced in the securities market? Evidence from S&P 500 index options

Article Abstract:

The article examines if the volatility risk is a priced risk factor in securities returns. Volatility risk was measured using zero-beta at-the-money straddle returns of the S&P 500 index.

Turkey, Risk (Economics), Investment analysis, Securities analysis

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