Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options
Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals. Using five commodities with varying characteristics, we find that the implied forward volatility dominates forecasts based on historical volatilit...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Western Agricultural Economics Association
2006-12-01
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| Series: | Journal of Agricultural and Resource Economics |
| Subjects: | |
| Online Access: | https://ageconsearch.umn.edu/record/8637 |
| _version_ | 1818187324698132480 |
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| author | Thorsten M. Egelkraut Philip Garcia |
| author_facet | Thorsten M. Egelkraut Philip Garcia |
| author_sort | Thorsten M. Egelkraut |
| collection | DOAJ |
| description | Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals. Using five commodities with varying characteristics, we find that the implied forward volatility dominates forecasts based on historical volatility information, but that the predictive accuracy is affected by the commodity's characteristics. Unbiased and efficient corn and soybeans market forecasts are attributable to the well-established volatility during crucial growing periods. for soybean meal, wheat, and hogs, volatility is less predictable and investors appear to demand a risk premium for bearing volatility risk. |
| first_indexed | 2024-12-11T23:09:13Z |
| format | Article |
| id | doaj.art-a6a05fb185944ece8ea414ec88a47184 |
| institution | Directory Open Access Journal |
| issn | 1068-5502 2327-8285 |
| language | English |
| last_indexed | 2024-12-11T23:09:13Z |
| publishDate | 2006-12-01 |
| publisher | Western Agricultural Economics Association |
| record_format | Article |
| series | Journal of Agricultural and Resource Economics |
| spelling | doaj.art-a6a05fb185944ece8ea414ec88a471842022-12-22T00:46:49ZengWestern Agricultural Economics AssociationJournal of Agricultural and Resource Economics1068-55022327-82852006-12-0131350852810.22004/ag.econ.86378637Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity OptionsThorsten M. EgelkrautPhilip GarciaOptions with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals. Using five commodities with varying characteristics, we find that the implied forward volatility dominates forecasts based on historical volatility information, but that the predictive accuracy is affected by the commodity's characteristics. Unbiased and efficient corn and soybeans market forecasts are attributable to the well-established volatility during crucial growing periods. for soybean meal, wheat, and hogs, volatility is less predictable and investors appear to demand a risk premium for bearing volatility risk.https://ageconsearch.umn.edu/record/8637agricultural commodityefficiencyforecastsimplied forward volatilityoptions |
| spellingShingle | Thorsten M. Egelkraut Philip Garcia Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options Journal of Agricultural and Resource Economics agricultural commodity efficiency forecasts implied forward volatility options |
| title | Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options |
| title_full | Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options |
| title_fullStr | Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options |
| title_full_unstemmed | Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options |
| title_short | Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options |
| title_sort | intermediate volatility forecasts using implied forward volatility the performance of selected agricultural commodity options |
| topic | agricultural commodity efficiency forecasts implied forward volatility options |
| url | https://ageconsearch.umn.edu/record/8637 |
| work_keys_str_mv | AT thorstenmegelkraut intermediatevolatilityforecastsusingimpliedforwardvolatilitytheperformanceofselectedagriculturalcommodityoptions AT philipgarcia intermediatevolatilityforecastsusingimpliedforwardvolatilitytheperformanceofselectedagriculturalcommodityoptions |