volatility. We develop a unified empirical framework to analyze the media's effects on both returns and volatility using insights … concentrated in soybeans and maize. We find robust evidence that media coverage decreases volatility for these agricultural … commodities on average for the period we study. The effects on volatility balance each other, with decreasing price coverage …

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 …

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities … functions, the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying …