Seasonal Volatility of Corn Futures Prices
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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.
DescriptionHonors thesis, Department of Mathematics
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Rights for Collection: Undergraduate Honors Theses and Student papers