Table 3 Tail parameter estimates
| Commodity | Left tail | Right tail | |||||
|---|---|---|---|---|---|---|---|
| Shape | (s.e.) | Scale | Shape | (s.e.) | Scale | ||
| Panel (a): Monthly returns in the spot market, 1928-2014 | |||||||
| Corn | 3.10 | (0.45) | 130.42 | 2.88 | (0.41) | 85.87 | |
| Cotton | 3.52 | (0.52) | 96.84 | 2.57 | (0.33) | 17.12 | |
| Oats | 2.54 | (0.41) | 28.17 | 2.94 | (0.46) | 130.58 | |
| Soybeans | 2.72 | (0.46) | 53.78 | 2.59 | (0.42) | 41.03 | |
| Wheat | 2.84 | (0.48) | 55.04 | 3.14 | (0.39) | 227.09 | |
| Live cattle | 2.94 | (0.42) | 18.28 | 2.93 | (0.42) | 24.56 | |
| Oranges | 2.46 | (0.30) | 173.72 | 1.95 | (0.32) | 56.90 | |
| Sugar | 3.49 | (0.41) | 554.36 | 2.36 | (0.41) | 56.04 | |
| Panel (b): Weekly returns in the futures market, 1979-2012 | |||||||
| Corn | 3.21 | (0.36) | 10.55 | 3.79 | (0.39) | 49.73 | |
| Cotton | 3.50 | (0.38) | 13.47 | 3.06 | (0.35) | 8.29 | |
| Oats | 3.81 | (0.40) | 72.21 | 3.40 | (0.52) | 30.67 | |
| Soybeans | 3.04 | (0.33) | 6.70 | 3.30 | (0.36) | 11.46 | |
| Wheat | 3.40 | (0.46) | 12.92 | 3.20 | (0.27) | 14.63 | |
| Live cattle | 4.04 | (0.54) | 8.63 | 3.93 | (0.40) | 7.49 | |
| Orange juice | 3.10 | (0.30) | 13.38 | 2.85 | (0.35) | 11.77 | |
| Sugar | 4.20 | (0.51) | 348.86 | 3.63 | (0.45) | 108.49 | |