Distribution of Daily Changes in Commodity Futures Prices

摘要

Agricultural futures prices over the entire life of a commodity futures contract tend to be more variable during growing seasons than after harvest. Thus, many economic models used in analyzing and forecasting price changes of commodity futures contracts are inaccurate. The variability of futures prices over shortrun, 2-month segments within a single season is more constant and, thus, fits within many standard economic models used for analyzing and forecasting.