crude oil spot and futures prices. The use of grains for the creation of bio-fuels has sparked fears that these demands are … inflating food prices. We analyse approximately 10 years of daily spot and futures prices for corn, wheat, sugar ethanol and oil … vary according to whether they are in low or high volatility regimes. …

The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional … Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV … standard volatility models if the simple expedient of using lagged squared demeaned daily returns provides a better RV …