Měření a srovnání volatility vybraných komodit

Abstract

The thesis focuses on measuring, comparing and interpreting historical volatility of selected commodities. It starts with the description of commodity market, then defines volatility, provides some theoretical basis as well as the methodology of data collection. The quantitative research covers 56 commodities with a daily frequency of valuation daily and six monthly priced commodities. The sample covers the period between 31. 12. 2004 to 31. 12. 2015 and considers a wide range of agricultural products, metals, energy or concrete. Drawing on extant literatures, three three types of commodity estimation are used: The annual percentage change in price, coefficient of variation and tunnel analysis. The results are outlined in eight subsections with the focus on the most pronounced fluctuations, the average and the closing price coefficient of variation comparison as well as the tunel volatility measurement.