Cost of carry index futures
carry model. These findings do not preclude interest rate volatility resulting in a widening of the arbitrage band for index futures prices, because arbitrageurs may 23 Apr 2014 The Cost-of-carry model and volatility : an analysis So the Goldman Sachs Commodity Index (GSCI) historical thirty-day volatility will be. 18 Aug 2018 That cost of carry is roughly the difference between the relevant funding interest rate and the expected dividend yield. The actual futures price will