US dairy futures markets of Class III milk, butter, cheese, and dry whey exhibit unique volatility patterns under the Federal Milk Marketing Order pricing system. We find that dairy volatilities have a relatively low connectedness among themselves and the overall commodity market. We develop a price information uncertainty measure to investigate dairy markets’ response to government-released information. Dairy futures markets respond to government-released information with increased trading activity. The price information uncertainty measure has a strong positive impact on price volatility across all dairy commodities. We provide evidence that the COVID-19 pandemic increases volatility in dairy commodities. The pandemic also significantly reduces the impact of information uncertainty on volatility.

III 类牛奶、黄油、奶酪和干乳清的美国乳制品期货市场在联邦牛奶销售订单定价系统下表现出独特的波动模式。我们发现乳制品波动率与整体商品市场之间的关联性相对较低。我们制定了价格信息不确定性措施来调查乳制品市场对政府发布信息的反应。乳制品期货市场对政府发布的信息做出反应，交易活动增加。价格信息不确定性衡量标准对所有乳制品的价格波动具有强烈的积极影响。我们提供的证据表明，COVID-19 大流行增加了乳制品的波动性。大流行还显着降低了信息不确定性对波动性的影响。