Measuring the Volatility of Wheat Futures Prices on the LIFFE
使用指数广义自回归条件异方差模型估计1996-2012年伦敦国际金融期货交易所小麦期货日价格波动性，发现波动性高度持续，2007年6月出现结构性上升10%，且价格弹性方差为0.04。
Abstract Agricultural prices rose dramatically in 2007 and have subsequently fluctuated at high levels. This paper estimates the volatility of daily wheat futures prices on the Euronext/London International Financial Futures and Options Exchange for 1996–2012 using an exponential generalised autoregressive conditional heteroscedasticity model with a constant (price) elasticity of variance ( CEV ) and a broken trend. Results show that volatility is highly persistent; there is a structural break in volatility in June 2007 when volatility rose by 10%; subsequently, the wheat futures price has become more volatile; and the CEV is 0.04.