Price volatility in the December contract of cotton was examined over the 1987-1997 period. An ARCH model was used to estimate the effects of seasonality, time-to-maturity, policy, weather, and supply and demand conditions on the variability of prices from planting to harvest. Findings indicate that there is a seasonal pattern to price volatility. Changes in farm policy do not appear to have had a significant impact, but the loan rate tends to have an inverse impact on volatility. Finally, there appears to be a non-linear relationship between the level of the futures price and price volatility.
|Number of pages
|Published - 1999
|Proceedings of the 1999 Beltwide Cotton Conference - Orlando, United States
Duration: Jan 3 1999 → Jan 7 1999
|Proceedings of the 1999 Beltwide Cotton Conference
|01/3/99 → 01/7/99