Garch Time-Series Models: An Application To Retail Livestock Prices
AbstractThis article applies recent developments in time-series modeling to analyze the retail prices of beef, pork, and chicken. Specifically, generalized autoregressive conditional heteroscedasticity (GARCH) models were fitted to these data to determine if, unlike more traditional time-series models, the conditional variances of the underlying stochastic processes are nonconstant. The estimation results indicate that the constant conditional variances assumption can be rejected. Furthermore, ex post forecast intervals generated from the GARCH processes indicate that the forecasting accuracy of the estimated models has varied widely over time with substantial volatility occurring during the 1970s and early 1980s.
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Bibliographic InfoArticle provided by Western Agricultural Economics Association in its journal Western Journal of Agricultural Economics.
Volume (Year): 13 (1988)
Issue (Month): 02 (December)
Demand and Price Analysis; Livestock Production/Industries; Research Methods/ Statistical Methods;
Other versions of this item:
- Satheesh V. Aradhyula & Matthew T. Holt, 1988. "GARCH Time Series Models: An Application to Retail Livestock Prices," Food and Agricultural Policy Research Institute (FAPRI) Publications 88-wp29, Food and Agricultural Policy Research Institute (FAPRI) at Iowa State University.
- Satheesh V. Aradhyula & Matthew T. Holt, 1988. "GARCH Time Series Models: An Application to Retail Livestock Prices," Center for Agricultural and Rural Development (CARD) Publications 88-wp29, Center for Agricultural and Rural Development (CARD) at Iowa State University.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Satheesh V. Aradhyula & Matthew T. Holt, 1988.
"Risk Behavior and Rational Expectations in the U.S. Broiler Market,"
Center for Agricultural and Rural Development (CARD) Publications
88-wp33, Center for Agricultural and Rural Development (CARD) at Iowa State University.
- Satheesh V. Aradhyula & Matthew T. Holt, 1988. "Risk Behavior and Rational Expectations in the U.S. Broiler Market," Food and Agricultural Policy Research Institute (FAPRI) Publications 88-wp33, Food and Agricultural Policy Research Institute (FAPRI) at Iowa State University.
- Aradhyula, Satheesh V. & Holt, Matthew, 1989. "Risk Behavior and Rational Expectations in the U.S. Broiler Market," Staff General Research Papers 274, Iowa State University, Department of Economics.
- Rezitis, Anthony N., 2003. "Volatility Spillover Effects in Greek Consumer Meat Prices," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 4(1), January.
- Yang, Seung-Ryong & Koo, Won W. & Wilson, William W., 1991.
"Heteroskedasticity in Crop Yield Models,"
121402, North Dakota State University, Department of Agribusiness and Applied Economics.
- Maurice, Noemie & Davis, Junior, 2011. "Unravelling the underlying causes of price volatility in world coffee and cocoa commodity markets," MPRA Paper 43813, University Library of Munich, Germany, revised 2012.
- Aizhen Li & Boris E. Bravo-Ureta & David K. Okello & Carl M. Deom & Naveen Puppala, 2013. "Groundnut Production and Climatic Variability: Evidence from Uganda," Working Papers 17, University of Connecticut, Department of Agricultural and Resource Economics, Charles J. Zwick Center for Food and Resource Policy.
- Weaver, Robert D & Natcher, William C, 2000. "Commodity Price Volatility under New Market Orientations," MPRA Paper 9862, University Library of Munich, Germany.
- Omar Enrique Castillo Nuñez, 2008. "Comportamiento de los precios del ganado hembra de levante de primera clase en Montería y Sincelejo (Colombia)," REVISTA FACULTAD DE CIENCIAS ECONÓMICAS, UNIVERSIDAD MILITAR NUEVA GRANADA.
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