文章基本信息

标题：An Integrated Approach to Modeling Price Volatility in the Live Cattle Futures Market
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作者：Evans, Kevin J. ; Streeter, Deborah H. ; Hudson, Michael A. 等
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：1992
出版社：Food Distribution Research Society
摘要：An understanding of changes in price volatility is of value to policy makers and exchange committee members as well as other participants in commodity futures markets. Previous research has studied volatility by measuring: 1) the flow of new information into the market, or 2) the effect that the structure of the futures market has on price volatility. In this paper, a model is developed which integrates these two themes in the literature to measure and explain price volatility in live cattle futures prices. The model is subjected to a battery of diagnostic tests so that a comparison can be made between the integrated model and models from previous research. Also, since price volatility from the underlying commodity is a major component in the determination of option premiums, a comparison is made between the integrated model and a naive model to forecast live cattle option premiums.