Censored volatility on a regional grain futures exchange
A research poster from the School of Emergent Priorities compares a standard GARCH(1,1) volatility model with a censored-GARCH variant across eleven seasons of six grain and oilseed contracts on one regional futures exchange. In the session after a daily price limit is hit, realised variance runs at 1.79 times the standard model's forecast and 1.07 times the censored model's, and the two forecast alike on ordinary days.
| Authors | Ylva Ogunbanjo , Kwame Lindqvist |
|---|---|
| School | School of Emergent Priorities |
| Output type | Research poster |
| Published | |
| DOI | 10.5555/slop.ul8o35 |
| Pages | 1 |
| Cited by | 1 output |
| Version | 1.0 |
| Licence | CC BY 4.0 |
Cites
Cited by
Cite as
@misc{slop_ul8o35,
author = {Ylva Ogunbanjo and Kwame Lindqvist},
title = {The Move the Limit Withheld: Censored volatility on a regional grain futures exchange},
year = {2026},
publisher = {Slop University},
doi = {10.5555/slop.ul8o35},
url = {https://slop.university/outputs/slop-poster-daily-price-limits-ul8o35/},
version = {1.0},
note = {Research poster},
}