We study the difference in the volatility dynamics of CBOT corn, soybeans, and oats futures prices across different delivery horizons via a smoothed Bayesian estimator. We find that futures price volatilities in these markets are affected by inventories, time to delivery, and the crop progress...

We apply a new Bayesian approach to multiple-contract futures data. It allows the volatility of futures prices to depend upon physical inventories and the contract's time to delivery - and it allows those parametric effects to vary over time. We find a time-varying negative relationship between...