MODELLING LONG MEMORY VOLATILITY IN AGRICULTURAL COMMODITY FUTURES RETURNS

Chia-Lin Chang (), Michael McAleer and Roengchai Tansuchat
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Roengchai Tansuchat: Faculty of Economics, Maejo University, Chiang Mai, Thailand

Annals of Financial Economics (AFE), 2012, vol. 07, issue 02, 1-27

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 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; Q14; Q11; C22; C51 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (19)

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Related works:
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 Return (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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DOI: 10.1142/S2010495212500108

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