We estimate a model of common and commodity-specific, high- and low-frequency factors, built on the spline-GARCH model of Engle and Rangel (2008) to explain the period of exceptionally high price volatility in commodity markets during 2006-2008. We find that decomposing realized volatility into...

The agricultural economics literature, both academic and trade, has discussed the assumed presence of cycles in livestock markets such as cattle and hogs for a very long time. Since Jarvis (1974), there has been considerable discussion over how these cycles impact optimal economic decision...