A Long Memory Conditional Variance Model for International Grain Markets

Hyun Jin ()

Journal of Rural Development/Nongchon-Gyeongje, 2008, vol. 31, issue 2, 23

Abstract: 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.

Keywords: Agribusiness; Agricultural Finance; Crop Production/Industries; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety; International Development; International Relations/Trade (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/45654/files/5_ ... Jin%20Hyun-Joung.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:jordng:45654

DOI: 10.22004/ag.econ.45654

Access Statistics for this article

More articles in Journal of Rural Development/Nongchon-Gyeongje from Korea Rural Economic Institute Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().