Wheat price volatility regimes over 140 years: An analysis of daily price ranges
利用1877年以来的芝加哥小麦期货每日高低价数据，识别出五个长期波动区间，发现区间间波动变化比区间内更显著，且常用历史波动率估计存在0%-22%的区间依赖向上偏差。
We analyze Chicago based daily wheat price volatility over more than 140 years using a novel data set of daily high and low futures prices starting in 1877. We identify five long-run regimes and find that volatility shifts between regimes are statistically more pronounced than fluctuations within regimes, even when conditioning on economic states. Historical volatility estimates derived from average commodity price data, a common practice in empirical studies, exhibit a regime-dependent upward bias between 0% and 22%. The magnitude of the bias and the importance of regimes potentially explain contradictory findings on volatility patterns in earlier studies.