Stats › Devises et matières premières › Grain volatility
Corn volatility is 69% higher in June than in February
Average annualised front-contract volatility at each market's published peak and trough month, 1 November 2007 to 13 November 2017. Only the peak and trough are plotted because those are the figures the source states; the intermediate months are not quoted there and are not invented here.
Grain return seasonality does not survive testing, but grain volatility seasonality clearly does. Corn front-month volatility averages 33.71% in June against 19.99% in February, and the summer peak replicates across two independent samples two decades apart.
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