GARCH Time Series Models: An Application to Retail Livestock Prices

Satheesh Aradhyula and Matthew Holt

Food and Agricultural Policy Research Institute (FAPRI) Publications (archive only) from Center for Agricultural and Rural Development (CARD) at Iowa State University

Abstract: Traditional time series models assume a constant conditional variance. Realizing the implausibility of this assumption, Bollerslev proposed Generalized Autoregressive Conditional Heteroscedasticity (GARSH) processes, which are characterized by nonconstant conditional variances. In this paper, GARCH (1,1) processes were applied to model livestock prices. Results indicate that GARCH processes adequately describe retail meat price behavior.

Date: 1988-05
References: Add references at CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
https://www.card.iastate.edu/products/publications/pdf/88wp29.pdf Full Text (application/pdf)
https://www.card.iastate.edu/products/publications/synopsis/?p=694 Online Synopsis (text/html)

Related works:
Journal Article: GARCH TIME-SERIES MODELS: AN APPLICATION TO RETAIL LIVESTOCK PRICES (1988)
Working Paper: GARCH Time Series Models: An Application to Retail Livestock Prices (1988)
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:ias:fpaper:88-wp29

Access Statistics for this paper

More papers in Food and Agricultural Policy Research Institute (FAPRI) Publications (archive only) from Center for Agricultural and Rural Development (CARD) at Iowa State University Contact information at EDIRC.
Bibliographic data for series maintained by ().