Risk - Research Papers Price Volatility in the Harvest Contract for Cotton Hudson, M.D., and K. H. Coble Forthcoming in Journal of Futures Markets . Abstract Price volatility in the December contract of cotton was examined over the 1987-1997 period.
Findings indicate that there is a seasonal pattern to price volatility.
Changes in farm policy do not appear to have had a significant impact, but the loan rate tends to have an inverse impact on volatility. Finally, there appears to be a non-linear relationship between the level of the futures price and price volatility.