An Application of Seasonal Adjustment Models to the Volatility Patterns of Futures Prices

Abstract

This paper examines the empirical patterns of futures prices volatility by using different seasonal adjustment techniques The average absolute month to month percentage (AAPC) figures are used to describe the extent of smoothness when seasonal adjustment methods are applied. Several interesting patterns are suggested from the observation of different futures contracts. The authors then suggest further that if seasonal patterns do exist for futures prices volatility, it is possible to focus the study of futures prices volatility on the different seasonal filters selection, and/or on the different seasonal models alternatives.

Citation

Chen, S.K., Wrobleski, W.J. and Brophy, D.J. (1990), "An Application of Seasonal Adjustment Models to the Volatility Patterns of Futures Prices", Managerial Finance, Vol. 16 No. 3, pp. 11-18. https://doi.org/10.1108/eb013644