BibTeX
@MISC{Crato_memoryin,
author = {Nuno Crato and Bonnie Raz},
title = {Memory in Returns and Volatilities of Commodity Futures Contracts},
year = {}
}
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Abstract
Various authors claim to have found evidence of stochastic long memory behavior in futures contract returns using the Hurst statistic. We reexamine futures' returns for evidence of persistent behavior using a biased-corrected version of the Hurst statistic and an estimate of the long-memory parameter based on the process spectrum. Using these new methods, we find no evidence for persistent behavior in futures' returns. However, we find overwhelming evidence of long memory behavior for the volatility of futures' returns. This finding adds to the emerging literature on persistent volatility in financial markets and suggests the use of new methods of forecasting volatility, assessing risk, and optimizing portfolios in futures' markets.
Keyphrases
commodity future contract new method persistent behavior process spectrum hurst statistic various author future contract persistent volatility overwhelming evidence long-memory parameter forecasting volatility stochastic long memory behavior long memory behavior biased-corrected version financial market
