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 …. To achieve this goal, we decompose an oil price shock to its underlying components, including macroeconomics and oil …