GARCH TIME-SERIES MODELS: AN APPLICATION TO RETAIL LIVESTOCK PRICES

Satheesh V. Aradhyula and Matthew Holt

Western Journal of Agricultural Economics, 1988, vol. 13, issue 2, 10

Abstract: This article applies recent developments in time-series modeling to analyze the retail prices of beef, pork, and chicken. Specifically, generalized autoregressive conditional heteroscedasticity (GARCH) models were fitted to these data to determine if, unlike more traditional time-series models, the conditional variances of the underlying stochastic processes are nonconstant. The estimation results indicate that the constant conditional variances assumption can be rejected. Furthermore, ex post forecast intervals generated from the GARCH processes indicate that the forecasting accuracy of the estimated models has varied widely over time with substantial volatility occurring during the 1970s and early 1980s.

Keywords: Demand and Price Analysis; Livestock Production/Industries; Research Methods/Statistical Methods (search for similar items in EconPapers)
Date: 1988
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Citations: View citations in EconPapers (11)

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Related works:
Working Paper: GARCH Time Series Models: An Application to Retail Livestock Prices (1988)
Working Paper: GARCH Time Series Models: An Application to Retail Livestock Prices (1988)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:wjagec:32111

DOI: 10.22004/ag.econ.32111

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