This article examines the pattern of volatility over time of a series of commodity futures prices, and focuses in particular on the futures price variability as the maturity date of the futures contract approaches. In a rational expectations model of asymmetric information, the article provides conditions under which the Samuelson hypothesis—that the variability of futures prices increases as maturity approaches—will be true.
|Journal||Journal of Futures Markets|
|Publication status||Published - Feb 2000|
Black, J., & Tonks, I. (2000). Time series volatility of commodity futures prices. Journal of Futures Markets, 20(2), 127-144. https://doi.org/10.1002/(SICI)1096-9934(200002)20:2<127::AID-FUT2>3.0.CO;2-F