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 …

. Volatility comovements only react following the global financial crisis. Our results cast doubt on the persistence of the effects …

The paper studies the return-volatility relationship in a range of commodities. We develop a commodity price model and … show that the volatility of price changes can be positively or negatively related to demand shocks. An “inverse leverage … effect” – the volatility is higher following positive price shocks – is found in more than half of the daily spot prices. The …

Commodity is one of the most volatile markets and forecasting its volatility is an issue of paramount importance. We … study the dynamics of the commodity markets volatility by employing fractional stochastic volatility and heterogeneous … autoregressive (HAR) models. Based on a high-frequency futures price dataset of 22 commodities, we confirm that the volatility of …

commodity futures markets. We ask whether limit events are the result of shocks to fundamental volatility or the result of … temporary volatility induced by the trading of non-commercial market participants (speculators). We find little evidence that …

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