Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

Empirical Tests of a Simple Pricing Model for Sugar Futures

Theo E. Nijman and Roel Beetsma
Annales d'Économie et de Statistique
No. 24 (Oct. - Dec., 1991), pp. 121-131
Published by: GENES on behalf of ADRES
DOI: 10.2307/20075845
Stable URL: http://www.jstor.org/stable/20075845
Page Count: 11
  • Read Online (Free)
  • Subscribe ($19.50)
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Empirical Tests of a Simple Pricing Model for Sugar Futures
Preview not available

Abstract

In this paper we test the empirical implications of a simple pricing model for commodity futures for the marginal process of prices of sugar futures. According to the pricing model, the futures price bias depends linearly on the conditional variance. We find significant coefficients, from monthly as well as daily data, if the conditional variance is modelled using the GARCH-M model. These estimates imply contango in the futures marked and a net hedging demand on the long side of it. /// Dans cet article, nous testons un modèle de détermination des prix pour des contrats à terme concernant le sucre. Selon ce modèle, la déviation des prix prévisionnels dépend linéairement de la variance conditionnelle. En utilisant le modèle de GARCH-M pour la variance conditionnelle, nous trouvons des coefficients significatifs, à partir des données aussi bien mensuelles que quotidiennes. Ces estimations impliquent un "contango" sur la marché et une demande nette de diminution des risques du côté des acheteurs.

Page Thumbnails

  • Thumbnail: Page 
[121]
    [121]
  • Thumbnail: Page 
122
    122
  • Thumbnail: Page 
123
    123
  • Thumbnail: Page 
124
    124
  • Thumbnail: Page 
125
    125
  • Thumbnail: Page 
126
    126
  • Thumbnail: Page 
127
    127
  • Thumbnail: Page 
128
    128
  • Thumbnail: Page 
129
    129
  • Thumbnail: Page 
130
    130
  • Thumbnail: Page 
131
    131