Determinants of price volatility in live cattle futures: insights from wavelet and VAR analyses

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dc.contributor.advisorSayed, Ayesha
dc.contributor.authorMachekanyanga, Takudzwa Wilson
dc.date.accessioned2026-07-02T07:43:36Z
dc.date.available2026-07-02T07:43:36Z
dc.date.issued2026
dc.date.updated2026-07-02T07:34:51Z
dc.description.abstractThis study investigates the dynamic relationships between price volatility in live cattle futures and key determinants, including speculation, hedging, grain futures returns, trading volume, and open interest, using a comprehensive multivariate framework. Employing daily data spanning from 2013 to 2023, the research integrates wavelet coherence analysis and vector autoregressive (VAR) modelling to capture both time-frequency correlations and linear interdependencies. Descriptive statistics reveal high variability in speculative activity and trading volumes, while hedging exhibits consistent negative returns, emphasising its risk- mitigation function. Wavelet coherence analysis highlights temporal shifts in relationships, with grain futures, particularly corn and wheat, exerting significant influence on volatility during periods of market stress. VAR results indicate that speculation Granger-causes volatility, supporting its dual role as both a stabiliser and amplifier of price fluctuations. Impulse response functions illustrate the persistent effects of shocks from trading volume and open interest on cattle futures, providing actionable guidance for market participants aiming to refine their risk management and trading strategies. The study contributes to the broader discourse on agricultural futures volatility and the financialisation of commodities, with implications for policy and market design.
dc.identifier.apacitationMachekanyanga, T. W. (2026). <i>Determinants of price volatility in live cattle futures: insights from wavelet and VAR analyses</i>. (). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/43445en_ZA
dc.identifier.chicagocitationMachekanyanga, Takudzwa Wilson. <i>"Determinants of price volatility in live cattle futures: insights from wavelet and VAR analyses."</i> ., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2026. http://hdl.handle.net/11427/43445en_ZA
dc.identifier.citationMachekanyanga, T.W. 2026. Determinants of price volatility in live cattle futures: insights from wavelet and VAR analyses. . University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. http://hdl.handle.net/11427/43445en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Machekanyanga, Takudzwa Wilson AB - This study investigates the dynamic relationships between price volatility in live cattle futures and key determinants, including speculation, hedging, grain futures returns, trading volume, and open interest, using a comprehensive multivariate framework. Employing daily data spanning from 2013 to 2023, the research integrates wavelet coherence analysis and vector autoregressive (VAR) modelling to capture both time-frequency correlations and linear interdependencies. Descriptive statistics reveal high variability in speculative activity and trading volumes, while hedging exhibits consistent negative returns, emphasising its risk- mitigation function. Wavelet coherence analysis highlights temporal shifts in relationships, with grain futures, particularly corn and wheat, exerting significant influence on volatility during periods of market stress. VAR results indicate that speculation Granger-causes volatility, supporting its dual role as both a stabiliser and amplifier of price fluctuations. Impulse response functions illustrate the persistent effects of shocks from trading volume and open interest on cattle futures, providing actionable guidance for market participants aiming to refine their risk management and trading strategies. The study contributes to the broader discourse on agricultural futures volatility and the financialisation of commodities, with implications for policy and market design. DA - 2026 DB - OpenUCT DP - University of Cape Town KW - VAR KW - volatility KW - cattle fufures LK - https://open.uct.ac.za PB - University of Cape Town PY - 2026 T1 - Determinants of price volatility in live cattle futures: insights from wavelet and VAR analyses TI - Determinants of price volatility in live cattle futures: insights from wavelet and VAR analyses UR - http://hdl.handle.net/11427/43445 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/43445
dc.identifier.vancouvercitationMachekanyanga TW. Determinants of price volatility in live cattle futures: insights from wavelet and VAR analyses. []. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2026 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/43445en_ZA
dc.language.isoen
dc.language.rfc3066eng
dc.publisher.departmentDepartment of Finance and Tax
dc.publisher.facultyFaculty of Commerce
dc.publisher.institutionUniversity of Cape Town
dc.subjectVAR
dc.subjectvolatility
dc.subjectcattle fufures
dc.titleDeterminants of price volatility in live cattle futures: insights from wavelet and VAR analyses
dc.typeThesis / Dissertation
dc.type.qualificationlevelMasters
dc.type.qualificationlevelMCom
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