The dynamics of the Ukrainian farm wheat price volatility: Evidence from a dynamic conditional correlation GARCH model development

Linde Gotz, Kateryna Goychuk, Thomas Glauben and William H. Meyers

No 285798, 2013 Conference, April 22-23, 2013, St. Louis, Missouri from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: This paper investigates the development of price volatility in the Ukrainian wheat market from 2005 till 2012 within a dynamic conditional correlation GARCH model. The results indicate that the export controls in Ukraine have not significantly reduced price volatility on the domestic wheat market. On the contrary, our findings suggest that the multiple and unpredictable interference of the Ukrainian government on the wheat export market has substantially increased market uncertainty which led to pronounced additional price volatility in the market.

Keywords: Marketing (search for similar items in EconPapers)
Date: 2013-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:n13413:285798

DOI: 10.22004/ag.econ.285798

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