Volatility of Corn Futures with Markov Regime Switching GARCH Model

被引：0
|
作者：
Chocholata, Michaela [1 ]
机构：
[1] Univ Econ Bratislava, Fac Econ Informat, Dept Operat Res & Econometr, Dolnozemska Cesta 1, Bratislava 85235, Slovakia
来源：
40TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS 2022 | 2022年
关键词：
volatility; corn; GARCH model; regime switching; MS GARCH model;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper deals with the analysis of the volatility of corn futures based on the daily values from January 3, 2018 to March 30, 2022. Both the univariate GARCH model and Markov switching GARCH (MS GARCH) model were estimated to illustrate the switching behaviour of analysed series during the period under consideration. The estimation results of GARCH model proved high volatility persistence of the corn market and the two-regime MS GARCH model enabled to capture various volatility switches during the analysed period.
引用
收藏
页码：135 / 140
页数：6
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