Price volatility in cotton

D. Hudson, K. Coble

Research output: Contribution to conferencePaper

Abstract

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.

Original languageEnglish
Pages328-334
Number of pages7
StatePublished - 1999
EventProceedings of the 1999 Beltwide Cotton Conference - Orlando, United States
Duration: Jan 3 1999Jan 7 1999

Conference

ConferenceProceedings of the 1999 Beltwide Cotton Conference
CountryUnited States
CityOrlando
Period01/3/9901/7/99

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    Hudson, D., & Coble, K. (1999). Price volatility in cotton. 328-334. Paper presented at Proceedings of the 1999 Beltwide Cotton Conference, Orlando, United States.