A Long Memory Conditional Variance Model for International Grain Markets

The study explores a long memory conditional volatility model on international grain markets, demonstrating importance of modeling both temporal effects of volatility and long memory process. This study adopts six different volatility models, nested in an ARMA(p,q)- FIGARCH(P,D,Q), to capture depend...

Full description

Saved in:
Bibliographic Details
Published in농촌경제, 31(2) pp. 81 - 103
Main Author Jin, Hyun Joung
Format Journal Article
LanguageEnglish
Published 한국농촌경제연구원 10.05.2008
Subjects
Agribusiness
Agricultural Finance
Crop Production/Industries
Demand and Price Analysis
FIGARCH
Food Consumption/Nutrition/Food Safety
International Development
international grain markets
International Relations/Trade
non-normality
stochastic volatility
농업경제학
Online AccessGet full text
ISSN1229-8263
2713-9506
DOI10.36464/jrd.2008.31.2.005

Cover

More Information
Summary:The study explores a long memory conditional volatility model on international grain markets, demonstrating importance of modeling both temporal effects of volatility and long memory process. This study adopts six different volatility models, nested in an ARMA(p,q)- FIGARCH(P,D,Q), to capture dependence of grain cash price volatility and compares the performance of the six models. It also visits a related question about non-normal behaviors of grain prices and adopts the student-t density intended to account for fat-tailed properties of the data. We find suitability of the FIGARCH type models under the student-t distribution and competitiveness of the parsimonious FIGARCH(1,d,0) for modeling long memory volatility.
Bibliography:http://purl.umn.edu/45654
G704-000576.2008.31.2.009
ISSN:1229-8263
2713-9506
DOI:10.36464/jrd.2008.31.2.005