1. Seasonal Variance among Light Sweet Crude and Corn Futures
Caleb Seeley
3/16/08

2. Introduction
Examine Light Sweet Crude futures prices at 5 minute intervals over 20 years ( )
Examine Corn futures prices at 5 minute intervals over 25 years ( )
Begin by looking for significant jumps and then continue by examining variance monthly and weekly
Using Bardorff-Nielson and Shephard model of jump testing.

3. Background Mathematics
Realized Variation:
Realized Bi-Power Variation:

4. Background Mathematics Part 2
The relative jump is defined:
RJt = (RVt – BVt) / RVt
In order to studentize the RJt one needs to estimate the integrated quarticity

5. Background Mathematics Part 3
Tri-Power Quarticity
Z-statistic – used .999 significance level (3.09)

7. Oil Price 92-07

8. Crude Results Average RV = .00030825 Average BV = .00029271
Annualized RV = 27.87%
Annualized BV = 27.16%
Jump Days = 81 (1.54%)

9. Results from
RV 27.54%
BV 26.97%
Jumps: 61 (1.52%)

11. RV BV 92-07

13. Results Winter Jumps:17 (21%) Spring Jumps:27 (33%)
Summer Jumps:17 (21%)
Fall Jumps:20 (25%)
Warm Weather Jumps:44 (54%)
Cold Weather Jumps:37 (46%)

15. RV BV by month

17. RV-BV by moth

18. RV BV by week

19. RV-BV by week

21. Corn Results Average RV = .0001002 Average BV = .000151
Annualized RV = 17.03%
Annualized BV = 15.89%
Jump Days: 372 (5.8%)

24. Seasonal Jumps Winter Jumps: 105 (28.2%) Spring Jumps: 78 (20.97%)
Summer Jumps: 101(27.15%)
Fall Jumps: 88 (23.66%)
Warm Weather Jumps: 193 (51.88%)
Cold Weather Jumps: 179 (48.12%)

29. Sp RVBV

30. Rvbv month

31. Rv bv week

32. Rv-bv month

33. Rv-bv week