Interestingly, both the ARCH(1)-ECM and the ECM forecasts for corn prices outperform the corn futures price forecasts. The persistence of short-run inefficiencies in the corn futures market during the out-of-sample period is also consistent with our in-sample result, and suggests that consistent abnormal profit opportunities may exist in this market. Similarly, the GARCH(1,1)-M-ECM forecasts for live cattle prices outperformed the live cattle futures price forecasts. This also suggests that prior knowledge of the time-varying risk premia, and persistent short-run inefficiencies in the live cattle futures market, could potentiallybe used to earn speculative profits