Forecasting commodity prices: GARCH, jumps, and mean reversion

2008 ◽  
Vol 27 (4) ◽  
pp. 279-291 ◽  
Author(s):  
Jean‐Thomas Bernard ◽  
Lynda Khalaf ◽  
Maral Kichian ◽  
Sebastien Mcmahon
Keyword(s):  
Commodity Prices ◽  
Mean Reversion

scholarly journals Bubble Troubles? Rational Storage, Mean Reversion and Runs in Commodity Prices.

2013 ◽  
Author(s):  
Eugenio S. Bobenrieth ◽  
Juan R. Bobenrieth ◽  
Brian Wright
Keyword(s):  
Commodity Prices ◽  
Mean Reversion

scholarly journals MENENTUKAN HARGA KONTRAK BERJANGKA KOMODITAS KEDELAI MENGGUNAKAN MODEL MEAN REVERSION

2016 ◽  
Vol 5 (4) ◽  
pp. 170
Author(s):  
WIRYA SEDANA ◽  
KOMANG DHARMAWAN ◽  
NI MADE ASIH
Keyword(s):  
Commodity Prices ◽  
Mean Reversion ◽  
Future Contract ◽  
Price Dynamics ◽  
Contract Price ◽  
Closing Price ◽  
The Future ◽  
Soybean Price ◽  
The Mean

It has been discussed in many literatures that commodity prices tend to follow mean reversion model. This means that when there is a jump price in certain time, the price will revert to the mean price in the future. In this research, the method to determine the existence of mean-reversion of soybean price dynamics is discussed. Then, the future contract of soybeans is calculated using mean-reversion simulation and the spot-future parity theorem. Both methods are applied to the closing price of soybeans for the period of 19 September 2011 to 28 April 2016. The results show that the future contract price calculated by Model Mean-Reversion simulation under estimate the future contract price determined by the spot-future parity theorem.

scholarly journals Can Multiyear Rollover Hedging Increase Mean Returns?

2005 ◽  
Vol 37 (1) ◽  
pp. 65-78 ◽  
Author(s):  
Byung-Sam Yoon ◽  
B. Wade Brorsen
Keyword(s):  
Commodity Prices ◽  
Mean Reversion ◽  
Past Research ◽  
Weak Form ◽  
Expected Returns ◽  
Ratio Test ◽  
Futures Prices ◽  
Agricultural Commodity ◽  
Test Procedures ◽  
Hedging Strategies

Both market advisors and researchers have often suggested multiyear rollover hedging as a way to increase producer returns. This study determines whether rollover hedging can increase expected returns for producers. For rollover hedging to increase expected returns, futures prices must follow a mean-reverting process. To test for the existence of mean reversion in agricultural commodity prices, this study uses a longer set of price data and a wider range of test procedures than past research. With the use of both the return predictability test from long-horizon regression and the variance ratio test, we find that mean reversion does not exist in futures prices for corn, wheat, soybean, soybean oil, and soybean meal. The findings are consistent with the weak form of market efficiency. Simulated trading results for 3-year rollover hedges provide additional evidence that the expected returns to the rollover hedging strategies are not statistically different from the expected returns to routine annual hedges and cash sale at harvest.

Mean Reversion in Agricultural Commodity Prices in India

2014 ◽  
Vol 20 (4) ◽  
pp. 385-398 ◽  
Author(s):  
Luis A. Gil-Alana ◽  
Trilochan Tripathy
Keyword(s):  
Commodity Prices ◽  
Mean Reversion ◽  
Agricultural Commodity

scholarly journals Testing mean-reversion in agricultural commodity prices: Evidence from wavelet analysis

2019 ◽  
Vol 12 (4) ◽  
pp. 100-114 ◽  
Author(s):  
Adedoyin Isola Lawal ◽  
Oluwasola Emmanuel Omoju ◽  
Abiola Ayopo Babajide ◽  
Abiola John Asaleye
Keyword(s):  
Wavelet Analysis ◽  
Commodity Prices ◽  
Mean Reversion ◽  
Agricultural Commodity

scholarly journals APLIKASI MODEL MEAN REVERSION DENGAN MUSIMAN DALAM MENENTUKAN NILAI KONTRAK OPSI TIPE EROPA PADA HARGA KOMODITAS KAKAO

2017 ◽  
Vol 6 (4) ◽  
pp. 226
Author(s):  
IDA AYU PUTU CANDRA DEWI ◽  
KOMANG DHARMAWAN ◽  
NI MADE ASIH
Keyword(s):  
Commodity Prices ◽  
Mean Reversion ◽  
European Option ◽  
Price Fluctuations ◽  
Option Contracts ◽  
Black Scholes Model ◽  
Option Contract ◽  
Black Scholes

Many literatures explain that commodity prices tend to follow the pattern of Mean Reversion models, commodity prices are controlled by seasonal supplies resulting in price fluctuations. To overcome the risk of fluctuations in the price, an investor can hedge with option contracts. The purpose of this research was to know the application of Mean Reversion model with seasonal in determining the value of European option contract from commodity ,by estimating the parameters and simulating the model in order to get the value of European option contract. Thus, the values of the options obtained with the model was compared with the value of the options calculated by the Black-Scholes model. The results of this study indicated that the value of contract option of Mean Reversion model with seasonal value was lower than the Black-Scholes model.

Russian Banking System under Conditions of Global Crisis

2009 ◽  
pp. 4-14 ◽  
Author(s):  
G. Gref ◽  
K. Yudaeva
Keyword(s):  
Banking System ◽  
Commodity Prices ◽  
Financial Sector ◽  
Banking Crises ◽  
Economic Recovery ◽  
Balance Sheets ◽  
Current Economic Crisis ◽  
Risk Appetite ◽  
The Us ◽  
The Face

Problems in the financial sector were at the core of the current economic crisis. Therefore, economic recovery will only become sustainable after taking care of the major weaknesses in the financial sector. This conclusion is relevant both for the US and UK - the two countries where crisis has started, and for other economies which financial institutions turned out to be fragile in the face of the swings in the risk appetite. Russia is one of the countries where the crisis has revealed serious deficiency in the financial sector. Our study of 11 banking crises during the last 25-30 years shows that sustainable economic recovery and decrease in the dependence on commodity prices will be virtually impossible without cleaning of balance sheets and capitalization of the financial sector.

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