Vivian, Andrew; Wohar, Mark E. - In: Journal of International Financial Markets, … 22 (2012) 2, pp. 395-422
Volatility is a key determinant of derivative prices and optimal hedge ratios. This paper examines whether there are structural breaks in commodity spot return volatility using an iterative cumulative sum of squares procedure and then uses GARCH (1,1) to model volatility during each regime.