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Seasonal Volatility of Corn Futures Prices

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Date
2009
Author
Seeley, Caleb
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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.
Type
Honors thesis
Department
Mathematics
Permalink
https://hdl.handle.net/10161/1398
Citation
Seeley, Caleb (2009). Seasonal Volatility of Corn Futures Prices. Honors thesis, Duke University. Retrieved from https://hdl.handle.net/10161/1398.
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This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 United States License.

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