MODELING THE DYNAMICS OF INTERNATIONAL AGRICULTURAL COMMODITY PRICES: A COMPARISON OF GARCH AND STOCHASTIC VOLATILITY MODELS

被引：7

作者：

Yang, Lu ^{[1
]}

Hamori, Shigeyuki ^{[2
]}

机构：

[1] Zhongnan Univ Econ & Law, Sch Finance, East Lake Hightech Dev Zone, 182 Nanhu Ave, Wuhan 430073, Hubei, Peoples R China

[2] Kobe Univ, Grad Sch Econ, Nada Ku, 2-1 Rokkodai, Kobe, Hyogo 6578501, Japan

来源：

ANNALS OF FINANCIAL ECONOMICS | 2018年 / 13卷 / 03期

关键词：

GARCH model; stochastic volatility; financialization; value at risk; agricultural commodities;

D O I：

10.1142/S2010495218500100

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this study, we employ generalized autoregressive conditional heteroscedastic (GARCH) and stochastic volatility models to investigate the dynamics of wheat, corn, and soybean prices. We find that the stochastic volatility model provides the highest persistence of the volatility estimation in all cases. In addition, based on the monthly data, we find that the jump process and asymmetric effect do not exist in agricultural commodity prices. Finally, by estimating Value at risk (VaR) for these agricultural commodities, we find that the upsurge in agricultural prices in 2008 may have been caused by financialization.

引用

页数：20

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