Abstract:
This paper examines the seasonal patterns evident in the volatility of corn futures
prices. It adds to the high-frequency volatility literature by exploring large price
discontinuities (jumps), and both the continuous and discontinuous portions of volatility
in a commodity, corn. Furthermore, the paper analyzes how the growing cycle of corn
influences volatility over the course of a year. After identifying a distinct pattern in the
volatility of corn over the growing season, this paper articulates some of the potential
causes of the observed trend. The amount of information available to the market seems to
drive the volatility of corn prices, and the changes in volatility occur almost entirely in
the continuous portion of volatility which led to jumps being evenly distributed
throughout the year.
