Modelling Long Memory Volatility in Agricultural Commodity Futures Return

Michael McAleer, Chia-Lin Chang () and Roengchai Tansuchat ()

No 817, KIER Working Papers from Kyoto University, Institute of Economic Research

Abstract: This paper estimates a long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the FIGARCH model of Baillie et al. (1996), FIEGARCH model of Bollerslev and Mikkelsen (1996), and FIAPARCH model of Tse (1998), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of Ding et al. (1993). The estimated d parameters, indicating long-term dependence, suggest that fractional integration is found in most of agricultural commodity futures returns series. In addition, the FIGARCH (1,d,1) and FIEGARCH(1,d,1) models are found to outperform their GARCH(1,1) and EGARCH(1,1) counterparts.

Keywords: Long memory; agricultural commodity futures; fractional integration; asymmetric; conditional volatility. (search for similar items in EconPapers)
JEL-codes: C22 C51 Q11 Q14 (search for similar items in EconPapers)
Date: 2012-05
New Economics Papers: this item is included in nep-agr and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

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http://www.kier.kyoto-u.ac.jp/DP/DP817.pdf (application/pdf)

Related works:
Journal Article: MODELLING LONG MEMORY VOLATILITY IN AGRICULTURAL COMMODITY FUTURES RETURNS (2012)
Working Paper: Modelling Long Memory Volatility in Agricultural Commodity Futures Returns (2012)
Working Paper: Modelling Long Memory Volatility in Agricultural Commodity Futures Returns (2012)
Working Paper: Modelling Long Memory Volatility in Agricultural Commodity Futures Returns (2012)
Working Paper: Modelling Long Memory Volatility in Agricultural Commodity Futures Returns (2009)
Working Paper: Modelling Long Memory Volatility in Agricultural Commodity Futures Returns (2009)
Working Paper: Modelling Long Memory Volatility in Agricultural Commodity Futures Returns (2009)
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