{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,7]],"date-time":"2026-02-07T14:49:01Z","timestamp":1770475741869,"version":"3.49.0"},"reference-count":59,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2001,4,23]],"date-time":"2001-04-23T00:00:00Z","timestamp":987984000000},"content-version":"vor","delay-in-days":53,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2001,3]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>Commodity index futures offer a versatile tool for gaining different forms of exposure to commodity markets. Volatility is a critical input in many of these applications. This paper examines issues in modelling the conditional variance of futures returns based on the Goldman Sachs Commodity Index (GSCI). Given that commodity markets tend to be \u2018choppy\u2019 (Webb, <jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#bib55\">1987<\/jats:ext-link>), a general econometric model is proposed that allows for abrupt changes or regime shifts in volatility, transition probabilities which vary explicitly with observable fundamentals such as the basis, GARCH dynamics, seasonal variations and conditional leptokurtosis. The model is applied to daily futures returns on the GSCI over 1992\u20131997. The results show clear evidence of regime shifts in conditional mean and volatility. Once regime shifts are accounted for, GARCH effects are minimal. Consistent with the theory of storage, returns are more likely to switch to the high\u2010variance state when the basis is negative than when the basis is positive. The regime switching model also performs well in forecasting the daily volatility compared to standard GARCH models without regime switches. The model should be of interest to sophisticated traders who base their trading strategies on short\u2010term volatility movements, managed commodity funds interested in hedging an underlying diversified portfolio of commodities and investors of options and other derivatives tied to GSCI futures contracts. Copyright \u00a9 2001 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.590","type":"journal-article","created":{"date-parts":[[2002,9,10]],"date-time":"2002-09-10T23:03:55Z","timestamp":1031699035000},"page":"133-163","source":"Crossref","is-referenced-by-count":37,"title":["Modelling the conditional volatility of commodity index futures as a regime switching process"],"prefix":"10.1002","volume":"16","author":[{"given":"Wai Mun","family":"Fong","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Kim Hock","family":"See","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2001,4,23]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050305"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v49.n3.20"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02553.x"},{"key":"e_1_2_10_5_1","doi-asserted-by":"crossref","first-page":"555","DOI":"10.1111\/j.1540-6261.1993.tb04727.x","article-title":"Macroeconomic influences and the variability of the commodity futures basis","volume":"45","author":"Bailey W","year":"1993","journal-title":"Journal of Finance"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330824"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/1925546"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90064-X"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474939208800229"},{"key":"e_1_2_10_11_1","first-page":"50","article-title":"The supply of storage","volume":"48","author":"Brennan MJ","year":"1958","journal-title":"American Economic Review"},{"key":"e_1_2_10_12_1","volume-title":"Stochastic Models and Option Values","author":"Brennan MJ","year":"1991"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1465-7295.1986.tb01821.x"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392087"},{"key":"e_1_2_10_15_1","unstructured":"CastelinoM.1981.Futures Market: The Maturity Effect on Risk and Return. 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