estimated  2 parameters are statistically significant in 9 of 16 agricultural commodity futures returns, meaning these returns have asymmetric effects of negative and

The estimated  2 parameters are statistically significant in 9 of 16 agricultural commodity futures returns, meaning these returns have asymmetric effects of negative and

Table 4 shows the estimates of the EGARCH(1,1) models from equations (5) and (6) for commodity futures returns. Most commodity futures returns show that the estimates of  2 are

Table 4 shows the estimates of the EGARCH(1,1) models from equations (5) and (6) for commodity futures returns. Most commodity futures returns show that the estimates of γ 2 are

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In sum, the analysis using the different GARCH models show evidence of long memory in the WTI and Brent crude oil futures markets at the different maturities.. Q (20) is

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This phenomenon may be attributed to two possible reasons: (1) the underdevel- oped and/or developing futures market in India, which acts as a barrier to the fulfillment of

These novel findings formally establish that persistence is time-varying in commodity and other asset futures markets, long memory is far more pervasive than previously thought

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