Variability in soyabean futures prices: an integrated framework

The development of a better prototype of the variance of changes in futures prices including information, market structure and economic variables led to the discovery of the nonlinear nature of the Samuelson effect, the limited importance of seasonal variables, the reduction of price volatility due to speculation, the increase of volatility when large traders on the short side enjoy a consolidation of open interest, and the existence of a clear distributed lag in the models.