- 1 -
Index
Appendix A ... 1
Appendix B ... 1
Appendix C ... 3
Appendix D ... 3
Appendix E... 4
Appendix F ... 4
Appendix G ... 4
Appendix A
Table A1 Futures contract specifications potatoes
Futures contracts Table potatoes Europ. Processing potatoes London potatoes
Unit of trading 25 metric tonnes 25 metric tonnes 25 metric tonnes
Notation Euro per 100 kg Euro per 100 kg Euro per 100 kg
Tick (size/value) Euro 0.1 / Euro 25 Euro 0.1 / Euro 25 Euro 0.1 / Euro 25 Maturities November, February,
April
November, February, April; if applicable May or June
April, May Last trading day Usually the last Wednesday
of the maturity month
Usually the last Thursday of the maturity month
Usually the last Friday of the maturity month
Trading hours 10.00-16.00 10.00-16.00 10.00-16.00
Performance Cash settlement against the RMX Table potato index- It represents the cash market price
Cash settlement against the RMX Potato index- It represents
the cash market price
Cash settlement against the RMX BPC index- It represents the cash market price
Source: Risk Management Exchange Hannover
Table A2 Futures contract specification wheat
Futures contract Wheat
Unit of trading 50 t of milling wheat, fobifica selected delivery points Notation Euro per tonne
Tick (size/value) Euro 0.1 / Euro 5
Maturities Usually August (in 2007 September), November, January, March and May Last trading day The exchange day before the first day of the delivery month
Trading hours 10.05 - 18.30
Performance Deliverable is wheat of EU origin, sound and of merchantable quality and meeting the following conditions: - Protein min 11% - Maisture max. 15% - Hagberg 220 sec. - Specific Weight 76 kg/nl - Imputiles max. 2 %
Source: Risk Management Exchange Hannover
Appendix B
- 2 -
Expiration price September futures contract
- 3 -
Appendix C
Figure C1 Volumes and open interest.
Open interest - Volumes
0 5000 10000 15000 20000 25000 30000 35000 40000 45000 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 Year V o lu m e
Processing potatoes volume Table potatoes volume London potatoes volume Wheat volume
Processing potatoes open interest Table potatoes open interest London potatoes open intererst Wheat open interest
Excel output
Missing data wheat 2005 and 2006
Wheat 2007, only data available from May till December Source: RMX Hannover
Appendix D
Table D1 Normality test of residuals of regression 3
Eviews output
*
H0 is rejected sign. level of 10%**
H0 is rejected sign. level of 5%***
H0 is rejected sign. Level of 1%Potatoes Jarque-Bera Probability
- 4 -
Appendix E
Table E1 ARCH-LM test with different lags
Potato LM values (lags 1) LM values (lags 5) LM values (lags 10)
1 week 8.745 0.003)*** 13.956 (0.016)** 15.845 (0.105) 1 month 1.117 (0.291) 4.796 (0.441) 12.591 (0.247) 2 months 0.288 (0.591) 1.180 (0.947) 6.547 (0.767) 3 months 6.099 (0.015) ** 10.140 (0.071) * 11.137 (0.346) Wheat 1 week 6.209 (0.013) ** 9.872 (0.079) * 12.655 (0.244) 1 month 2.777 (0.096) * 6.456 (0.264) 1.315 (0.290) 2 months 1.282 (0.257) 15.562 (0.008) *** 17.079 (0.073) * 3 months 0.000 (0.986) 18.407 (0.002) *** 18.633 (0.045) ** Eviews output
a. LM values which have a χ2 distribution and the probabilities are reported in the parenthesis The null hypothesis is: no ARCH effects
* H0 is rejected sign. level of 10%
**
H0 is rejected sign. level of 5%***
H0 is rejected sign. Level of 1%Appendix F
Table F1 Variance equation 6d:
σ
t2=
ω
+
γ
1ε
t2−1+
γ
2σ
t2−1Potatoes
ω
z-statisticsaγ
1 Z statisticγ
2 z-statisticWeek 1 0.000 0.784 (0.433) 0.128 1.322 (0.186) 0.607 1.567 (0.117) Month 1 0.007 6.134 (0.000) *** 0.027 1.326 (0.185) -1.046 -30.616 (0.000) *** Months 2 0.000 -0.393 (0.694) 0.117 1.741 (0.000) *** 0.899 8.779 (0.000) *** Months 3 0.001 0.695 (0.487) 0.277 1.225 (0.221) 0.642 2.610 (0.009) *** Wheat Week 1 0.000 -0.991 (0.322) 0.150 0.665 (0.506) 1.115 4.043 (0.000) *** Month 1 0.000 -0.350 (0.726) -0.072 -1.464 (0.143) 1.217 53.817 (0.000) *** Months 2 0.000 -0.143 (0.886) -0.095 -0.367 (0.714) 1.203 3.980 (0.000) *** Months 3 0.000 0.962 (0.336) -0.074 -0.865 (0.387) 1.090 86.310 (0.000)*** Eviews output
* Statistical sign, level of 10%
**
Statistical sign, level of 5%***
Statistical sign, level of 1%Appendix G
Table G1 In-sample paramets
Potatoes αααα OLS ß OLS αααα ARCH ß ARCH αααα GARCH ß GARCH Week 1 0.015 0.987 0.018 0.984 0.017 0.985 Month 1 0.003 0.980 0.005 0.976 0.000 0.977 Months 2 0.012 0.949 0.016 0.945 0.004 0.957 Months 3 0.025 0.921 0.017 0.935 0.004 0.959 Wheat Week 1 0.006 0.997 -0.001 1.000 0.006 0.997 Month 1 -0.208 1.100 -0.185 1.088 -0.203 1.097 Months 2 -0.171 1.084 -0.227 1.111 -0.090 1.046 Months 3 0.026 0.987 0.000 0.999 0.019 0.990 Eviews output- In-sample observations1998 till June 2006 and out-of sample observations July 2006 till December 2007 In-sample 52 Potato futures prices and spot prices Out of sample 15
