This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt …-2010 analyzed at weekly frequency. Using GARCH models we find that speculation significantly affects volatility of returns: short … term speculation has a positive and significant impact on volatility, while long term speculation generally has a negative …

We provide a comprehensive view on volatility dynamics in precious metals and crude oil markets. Using high … volatility of Gold, Silver and Crude Oil futures. We model realized volatility as a linear function of lagged realized volatility … volatility. We document considerable changes in the relative importance of short-, mid-, and long-term volatility components …

, i.e. exhibits seasonality. We propose a stochastic volatility jump-diffusion model to capture this seasonal variation …