Price Volatility Modelling – Wheat: GARCH Model Application

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Price Volatility Modelling – Wheat: GARCH Model Application

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Price Volatility Modelling – Wheat: GARCH Model Application

Popis výsledku anglicky

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

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

AGRIS on-line Papers in Economics and Informatics

ISSN

1804-1930

e-ISSN

—

Svazek periodika

9

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

10

Strana od-do

15-24

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85038841507