Detecting and modeling changing volatility in the copper futures market

Article Abstract:

Recurring subperiods of volatility were detected by applying a technique based on an iterated cumulative sum of squares (ICSS) algorithm which determines breakpoints in the series. Also, the capability of five models to describe the volatility within each ICSS identified subperiod were compared. The tests were employed on two copper futures series. Findings showed that the ranking is similar for both series. Hence, the GARCH or EGARCH model rank first and second, depending on the series, followed by the GJR model.

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Ex ante basis risk in the live job futures contract: has hedgers' risk increased?

Article Abstract:

The changing nature of live hog basis risk for a direct and terminal market from 1975 to 1994 is studied. A successful marketing strategy should include forecasting the cash-futures basis for agricultural commodities. Short hedgers have been the basis for quite some time. Unanticipated basis movements could substantially affect the net price received. Forecasting the basis enables producers to study alternative forward pricing mechanisms such as futures hedging, cash forward and basis contracts.

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Modes of fluctuation in metal futures prices

Article Abstract:

A model for gold futures prices, silver futures prices and copper futures prices is presented. The model for copper futures prices is more complex than the models for gold futures prices and silver futures prices.

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