Affiliation: | (1) University of Macedonia, Department of Economics, 156 Egnatia street, 54006 Thessaloniki, Greece;(2) Regional Research Institute, West Virginia University, Morgantown, WV 26506-6108, USA;(3) LAMETA, Department of Economics, University of Montpellier I, Espace Richter, Avenue de La Mer, 34054 Montpillier, Cedex 1, France |
Abstract: | The nonlinear testing and modeling of economic and financial time series has increased substantially in recent years, enabling us to better understand market and price behavior, risk and the formation of expectations. Such tests have also been applied to commodity market behavior, providing evidence of heteroskedasticity, chaos, long memory, cyclicity, etc. The present evaluation of futures price behavior confirms that the resulting price movements can be random, suggesting noisy chaotic behavior. Prices could thus follow a mean process that is dynamic chaotic, coupled with a variance that follows a GARCH process. Our conclusion is that models of this type could be constructed to assist in forecasting prices in the short run but not over long run time periods.First version received: June 2001/Final version received: March 2003 |