Intertemporal volatility and price interactions between Australian and Japanese spot and futures stock index markets

Article Abstract:

A mathematical model for analyzing volatility spillovers between Japanese and Australian spot and futures stock index markets has been devised. The model is expected to be of particular importance to smaller markets that are heavily dependent on a larger foreign counterpart. The study permits a futures trader to analyze the effect of foreign and local trading trends in cash and future markets, a financial analysis that was not possible under previous circumstances.

Models, Australia, Japan, Commodity futures, Stock index futures, Spot market, Commodity price indexes

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Price volatility and futures margins

Article Abstract:

A positive correlation between the volatility and returns in futures contracts is found in an examination of various commodities. The relation is observed in both the total jump and ordinary component of volatility. A regression model of the percentage changes in volatility and margins gives a large negative intercept and a statistically significant slope coefficient. However, margins are decreased ahead of volatility levels.

Evaluation, Futures

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Volatility, storage and convenience: evidence from natural gas markets

Article Abstract:

The link between commodity price volatility and investment in storage facilities is determined in the US natural gas industry. Regulatory changes are proven to catalyze commodity price volatility. A switching ARCH model, which involves two autoregressive terms and two states, best characterizes the volatility of the industry during major regulatory changes. This model is even better than the usual GARCH models.

Crude Petroleum and Natural Gas Extraction, Crude petroleum and natural gas, Crude Petroleum, Research, Political aspects, Petroleum, Gas industry, Inventory control

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