shares of futures speculators have destabilized commodity spot prices. We approximate conditional volatility and regress it …-periods, and document whether the speculative impact on conditional volatility has increased. However, with respect to six heavily …

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 …

Over the 1990–2010 time period, a dynamic interaction between spot and futures returns in five commodity markets … and a non-linear parameterization of the corresponding futures returns are combined with a bivariate CCC …-GARCH representation of the conditional variances. Hedgers and speculators are contemporaneously at work in the futures markets, the role …