The information content of implied volatility in agricultural commodity markets

Article Abstract:

The incremental information content of lagged implied volatility is compared to GARCH models of conditional volatility for a collection of agricultural commodities traded on the New York Board of Trade. The results indicate that the implied volatility for options on futures contracts in agricultural commodity markets provides relevant volatility information.

Market information - general, Supply and demand, Farm produce, Agricultural products

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Survival of commodity trading advisors: 1990-2003

Article Abstract:

A study on the commodity trading advisors from 1990 to 2003 proves that the advisors who followed the strategies, which generate lower returns or exposed the funds higher risks found it difficult to survive.

Services information, Investment advice, Investment Advisory Services, Asset & Risk Management, Methods, Services, Risk management, Investment advisers, Return on investment, Rate of return

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The information content of implied volatility in light of the jump/continuous decomposition of realized volatility

Article Abstract:

The efficacy of historical volatility in predicting the future volatility, by estimating regression, is analyzed.

Usage, Regression analysis, Volatility (Finance)

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