Modelling the conditional volatility of commodity index futures as a regime switching process

Journal of Applied Econometrics

Volumn 16, Issue 2, 2001, Pages 133-163

  Fong, Wai Mun ^a   See, Kim Hock ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035630816     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/jae.590     Document Type: Article

References (59)

1. Anderson R. 1985. Some determinants of the volatility of futures prices. Journal of Futures Markets 5: 331-348.
2. Ankrim EM, Hensel CR. 1993. Commodities in asset allocation: a real-asset alternative to real estate? Financial Analysts Journal May-June, 20-29.
3. Atchison M, Butler K. Simmonds R. 1987. Nonsynchronous security trading and market index autocorrelation. Journal of Finance 42: 111-118.
4. Bailey W, Chan KC. 1993. Macroeconomic influences and the variability of the commodity futures basis. Journal of Finance 45: 555-573.
5. Baillie RT, DeGennaro RP. 1990. Stock returns and volatility. Journal of Financial and Quantitative Analysis 25: 203-215.
6. Bollerslev T. 1986. Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics 31: 307-327.
7. Bollerslev T. 1987. A conditionally heteroscedastic time series model for securities prices and rates of returns data. Review of Economics and Statistics 59: 542-547.
8. Bollerslev T, Chou RY, Kroner KF. 1992. ARCH modelling in finance. Journal of Econometrics 52: 5-59.
9. Bollerslev T, Wooldridge JM. 1992. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Econometric Reviews 11: 143-172.
10. Brennan MJ. 1958. The supply of storage. American Economic Review 48: 50-72.
11. Brennan MJ. 1991. The price of convenience and the pricing of commodity contingent claims. In Stochastic Models and Option Values, Lann D, Oksendal B (eds). Elsevier: New York.
12. Bresnahan T, Spiller P. 1986. Futures market backwardation under risk neutrality. Economic Inquiry 24: 429-441.
13. Cai J. 1994. A Markov model of regime-switching ARCH. Journal of Business and Economic Statistics 12: 309-316.
14. Castelino M. 1981. Futures Market: The Maturity Effect on Risk and Return. Unpublished PhD Dissertation, The City University of New York.
15. Chang EC, Kim CW. 1988. Day of the week effects and commodity price changes. Journal of Futures Markets 8: 229-241.
16. Chou RY. 1988. Volatility persistence and stock valuations: some empirical evidence using GARCH. Journal of Applied Econometrics 3: 279-294.
17. Davies RB. 1977. Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika 64: 247-254.
18. Davies RB. 1987. Hypothesis testing when a nuisance parameter is only present under the alternative. Biometrika 74: 33-43.
19. Deaton A, Laroque G. 1992. On the behaviour of commodity prices. Review of Economic Studies 59: 1-23.
20. Deb P. 1997. Finite sample properties of the ARCH class of models with stochastic volatility. Economics Letters 55: 27-34.
21. Duffie D, Gray S. 1995. Volatility in energy prices. In Managing Energy Price Risk. Risk Publications: London.
22. Engle RF. 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50: 987-1007.
23. Engle RF, Bollerslev T. 1986. Modelling the persistence of conditional variances. Econometric Reviews 5: 1-20.
24. Fama EF, French KR. 1987. Permanent and transitory components of stock prices. Journal of Political Economy 96: 246-273.
25. Fama EF, French KR. 1988a. Commodity futures prices: some evidence on forecast power, premiums and the theory of storage. Journal of Business 60: 55-73.
26. Fama EF, French KR. 1988b. Business cycles and the behaviour of metals prices. Journal of Finance 43: 1075-1093.
27. Fong WM. 1997. Volatility persistence and switching ARCH in Japanese stock returns. Financial Engineering and the Japanese Markets 4: 37-57.
28. French KR. 1986. Detecting spot price forecasts in futures prices. Journal of Business 59: S39-S54.
29. French KR, Schwert GW, Stambaugh RF. 1987. Expected stock returns and volatility. Journal of Financial Economics 19: 3-30.
30. Froot KA. 1995. Hedging portfolios with real assets. Journal of portfolio management 21: 60-77.
31. Garcia R. 1997. Asymptotic null distribution of the likelihood ratio test in Markov switching models. International Economic Review 39: 763-788.
32. Gilbert CL, Brunetti C. 1995. Commodity price volatility in the 1990s. In Commodities Derivatives and Finance, Smith KT, Kennison P (eds). Euromey Books: London.
33. Gray SF. 1995. Volatility in energy prices. In Managing Energy Risk, Risk Publication: London; Chapter 2.
34. Gray SF. 1996a. Modelling the conditional distribution of interest rates as a regime-switching process. Journal of Financial Economics 42: 27-62.
35. Gray SF. 1996b. An analysis of conditional regime-switching models. Working paper, Duke University.
36. Hamilton JD, Susmel R. 1994. Autoregressive conditional heteroscedasticity and changes in regime. Journal of Econometrics 64: 307-333.
37. Hansen B. 1992. The likelihood ratio test under nonstandard conditions: testing the Markov switching model of GNP. Journal of Applied Econometrics 7: S61-S82.
38. Lamoureux CG, Lastrapes WD. 1990. Persistence in variance, structural change and the GARCH model. Journal of Business and Economic Statistics 8: 225-234.
39. Lo AW, Mackinlay C. 1990. An econometric analysis of nonsynchronous trading. Journal of Econometrics 45: 181-211.
40. Lummer SL, Brinson GP. 1993. GSCI collaterized futures: a hedging and diversification tool for institutional investors. Journal of Investing Summer.
41. Milonas NT. 1986. Price variability and the maturity effect in futures markets. Journal of Futures Markets 3: 443-460.
42. Nelson DB. 1991. Conditional heteroscedasticity in asset pricing: a new approach. Econometrica 59: 347-370.
43. Petroleum Economist. 1996. Cold winter spurs rise in demand and prices. 24 December.
44. Ng VK, Pirrong SC. 1994. Fundamentals and volatility: storage, spreads and the dynamics of metals prices. Journal of Business 67: 203-230.
45. Ring T. 1992. New commodity contracts. Global Finance July, 26-27.
46. Samuelson PA. 1965. Proof that properly anticipated prices fluctuate randomly. Industrial Management Review 6: 41-49.
47. Schneeweis T, Spurgin R. 1997. Comparisons of commodity and managed futures benchmark indexes. Journal of Derivatives Summer, 33-50.
48. Scholes M, Williams J. 1977. Estimating beta from nonsynchronous data. Journal of Financial Economics 5: 309-327.
49. Serletis A. 1992. Maturity effects in energy futures. Energy Economics April, 150-157.
50. Shorack GR, Wellner JA. 1987. Empirical Processes with Applications to Statistics. Wiley: New York.
51. Strongin S, Petsch M. 1997. What is the GSCI? The construction and design of the Goldman Sachs Commodity Index. Goldman Sachs & Co., June.
52. Telser LG. 1958. Futures trading and the storage of cotton and wheat. Journal of Political Economy 66: 233-255.
53. Verleger PK Jr. 1994. Adjusting to Volatile Energy Prices, Institute for International Economics: Washington, DC.
54. Wall Street Journal. 1997. 1996 year-end review of market and finance. 2 January, 34.
55. Webb RI. 1987. A note on volatility and pricing of futures options during choppy markets. Journal of Futures Markets 7: 333-372.
56. Williams JC, Wright BD. 1989. A theory of negative prices for storage. Journal of Futures Markets 9: 1-13.
57. Williams JC, Wright BD. 1991. Storage and Commodities. Cambridge University Press: Cambridge.
58. Wilson B, Aggarwal R, Inclan C. 1996. Detecting volatility changes across the oil sector. Journal of Futures Markets 16: 313-330.
59. Working H. 1949. The theory of the price of storage. American Economic Review 39: 1254-1262.