Commodities Inventory Effect

Abstract : Does commodity price volatility increase when inventories are low? We are the first ones to document this relationship. To that aim, we estimate asym- metric volatility models for a large set of commodities over 1994-2011. Since inventories are hard to measure, especially for high frequency data, we use positive return shocks as a new original proxy for inventories and find that asymmetric GARCH models reveal a significant inventory effect for many commodities. The results look robust. They hold if we allow the uncondi- tional variance to vary over time and if we relax the parametric form.
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https://hal.archives-ouvertes.fr/hal-01821144
Contributor : Jean-Francois Carpantier <>
Submitted on : Friday, June 22, 2018 - 12:09:50 PM
Last modification on : Saturday, June 23, 2018 - 1:21:25 AM

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  • HAL Id : hal-01821144, version 1

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Jean-François Carpantier, Arnaud Dufays. Commodities Inventory Effect. [Research Report] 13-07, Center for Research in Economic Analysis, University of Luxembourg. 2013. ⟨hal-01821144⟩

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