Document Type
Thesis - University Access Only
Award Date
2011
Degree Name
Master of Science (MS)
Department / School
Economics
Abstract
This thesis measures variance based on realized variance, seasonal GARCH, implied variance from the Black (1976) model, and implied variance based on variance swap rate. The computation of variance swap rate for soybeans is similar to the methodology of the CBOE's VIX index. The implied variance based on variance swap rate is termed as soybean VIX. The variance risk premium, defined as the difference between realized variance and implied variance, is significantly negative in the soybean market. A clear seasonal pattern is found in soybean price, price variance and the magnitude of variance risk premium.
Library of Congress Subject Headings
Soybean industry
Analysis of variance
Soybean -- Prices
Format
application/pdf
Number of Pages
76
Publisher
South Dakota State University
Recommended Citation
Pokharel, Krishna Prasad, "Measuring and Forecasting Variance and Variance Risk Premium in the Soybean Market" (2011). Electronic Theses and Dissertations. 1827.
https://openprairie.sdstate.edu/etd2/1827