Forecasting Fed Cattle, Feeder Cattle, and Corn Cash Price Volatility: The Accuracy of Time Series, Implied Volatility, and Composite Approaches

Mark Manfredo, Raymond M. Leuthold and Scott Irwin

Journal of Agricultural and Applied Economics, 2001, vol. 33, issue 3, 523-538

Abstract: Economists and others need estimates of future cash price volatility to use in risk management evaluation and education programs. This paper evaluates the performance of alternative volatility forecasts for fed cattle, feeder cattle, and corn cash price returns. Forecasts include time series (e.g. GARCH), implied volatility from options on futures contracts, and composite specifications. The overriding finding from this research, consistent with the existing volatility forecasting literature, is that no single method of volatility forecasting provides superior accuracy across alternative data sets and horizons. However, evidence is provided suggesting that risk managers and extension educators use composite methods when both time series and implied volatilities are available.

Date: 2001
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Journal Article: FORECASTING FED CATTLE, FEEDER CATTLE, AND CORN CASH PRICE VOLATILITY: THE ACCURACY OF TIME SERIES, IMPLIED VOLATILITY, AND COMPOSITE APPROACHES (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:jagaec:v:33:y:2001:i:03:p:523-538_02

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