Price Volatility Modelling – Wheat: GARCH Model Application
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60460709%3A41110%2F17%3A75259" target="_blank" >RIV/60460709:41110/17:75259 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.7160/aol.2017.090402" target="_blank" >http://dx.doi.org/10.7160/aol.2017.090402</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.7160/aol.2017.090402" target="_blank" >10.7160/aol.2017.090402</a>
Alternative languages
Result language
angličtina
Original language name
Price Volatility Modelling – Wheat: GARCH Model Application
Original language description
This paper is focused on the modelling of volatility in the agricultural commodity market, specifically on wheat. The aim of this study is to develop an applicable and relevant model of conditional heteroscedasticity from the GARCH family for wheat futures prices. The GARCH (1,1) model has the ability to capture the main characteristics of the commodity market, specifically leptokurtic distribution and volatility clustering. The results show that the forecasted volatility of wheat has a tendency towards standard error reversion in the longrun and the position of price distribution is closed to the normal distribution. The wheat production can be hedged against the price variability with longterm contracts. The price of wheat was influenced during the years of 2005 to 2015 by different events, in particular, financial crisis, increasing grain demand and cross-sectional price variability. The results suggest that agricultural producers should focus on shortterm structural events the wheat mark
Czech name
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Czech description
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Classification
Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
AGRIS on-line Papers in Economics and Informatics
ISSN
1804-1930
e-ISSN
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Volume of the periodical
9
Issue of the periodical within the volume
4
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
10
Pages from-to
15-24
UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-85038841507