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volatility of rolling contracts in Commodity.
I would like to compute a volatility of a single-commodity index (for example, GSCLER).In this case, we need to determine the volatility of a commodity, but we have to take account of periodic rolling from one contract to another.For example, suppose that we want to compute the vol with a maturity of 1 year. In that case, this vol would not be equivalent to the vol of future contract that matures in 1 year. Does anyone have thoughts on how to efficiently compute this volatility??Thank you very much.
volatility of rolling contracts in Commodity.
You need a forward curve model.