Fractional Integration in Agricultural Futures Price Volatilities

This article tests whether the volatility of agricultural futures prices exhibits fractional integration. Volatility series were constructed for fourteen agricultural futures price series with over 5,300 observations per series. The volatility series exhibit strong long‐term dependence, which is an indicator of fractional integration. A fractional integration model, FIGARCH(1, d, 1), performs significantly better than a traditional volatility model, GARCH(1,1), in modeling agricultural futures price volatility.