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Alternative measures of volatility i...

Wang, Yuanfang.

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Alternative measures of volatility in agricultural futures markets.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Alternative measures of volatility in agricultural futures markets./
Author:	Wang, Yuanfang.
Description:	131 p.
Notes:	Source: Dissertation Abstracts International, Volume: 66-05, Section: A, page: 1885.
Contained By:	Dissertation Abstracts International66-05A.
Subject:	Economics, Agricultural. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3176369
ISBN:	0542153297

Alternative measures of volatility in agricultural futures markets.
Wang, Yuanfang.

Alternative measures of volatility in agricultural futures markets. - 131 p.

Source: Dissertation Abstracts International, Volume: 66-05, Section: A, page: 1885.

Thesis (Ph.D.)--The Ohio State University, 2005.

The three essays of this thesis focus on modeling and forecasting agricultural futures market volatility utilizing two nonparametric volatility measures, realized volatility and range-based volatility. Special attention is given to comparing the performance of time series models used previously in the literature with these two measures.

ISBN: 0542153297Subjects--Topical Terms:

626648
Economics, Agricultural.

Alternative measures of volatility in agricultural futures markets.
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100 1 $a Wang, Yuanfang. $3 1905621
245 1 0 $a Alternative measures of volatility in agricultural futures markets.
300 $a 131 p.
500 $a Source: Dissertation Abstracts International, Volume: 66-05, Section: A, page: 1885.
500 $a Adviser: Matthew Roberts.
502 $a Thesis (Ph.D.)--The Ohio State University, 2005.
520 $a The three essays of this thesis focus on modeling and forecasting agricultural futures market volatility utilizing two nonparametric volatility measures, realized volatility and range-based volatility. Special attention is given to comparing the performance of time series models used previously in the literature with these two measures.
520 $a The first essay investigates the properties of realized volatility in the soybean futures market. The results indicate that the distributional properties of realized volatility based on 5-minute returns largely correspond with existing literature. The findings of three volatility measures confirm that the Mixture-of-Distributions-Hypothesis (MDH) is valid. In contrast, the standardized daily returns display some different properties compared with stock and exchange rate data. Moreover, the parametric ARFIMA and GARCH models reflect same patterns as described in nonparametric analysis.
520 $a The second essay compares the performance of GARCH models, range-based GARCH models, and log-range based simple regression models in terms of their forecasting abilities. Realized volatility is used as the forecasting evaluation criterion. In-sample fitting results reveal that range-based GARCH models outperform standard GARCH models. Out-of-sample tests indicate that GARCH models extended with daily ranges work better than the log-range based ARMA models.
520 $a The third essay examines the economic value of realized volatility in the context of hedging. Specifically, it provides an analysis of incorporating information contained in intraday prices into multivariate GARCH models and evaluates the statistical performance of the augmented GARCH models. Then, effectiveness of different optimal hedge ratios depending on different estimation procedures is compared by examining the in-sample and out-of-sample performance of the ratios. Results reveal that the use of the augmented GARCH models, while statistically appropriate, provides only marginal gain to the hedger.
590 $a School code: 0168.
650 4 $a Economics, Agricultural. $3 626648
650 4 $a Economics, Finance. $3 626650
690 $a 0503
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710 2 0 $a The Ohio State University. $3 718944
773 0 $t Dissertation Abstracts International $g 66-05A.
790 1 0 $a Roberts, Matthew, $e advisor
790 $a 0168
791 $a Ph.D.
792 $a 2005
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3176369