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Garch Time-Series Models: An Application To Retail Livestock Prices

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  • Aradhyula, Satheesh V.
  • Holt, Matthew T.

Abstract

This 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 Info

Article provided by Western Agricultural Economics Association in its journal Western Journal of Agricultural Economics.

Volume (Year): 13 (1988)
Issue (Month): 02 (December)
Pages:

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Handle: RePEc:ags:wjagec:32111

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Web page: http://waeaonline.org/
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Related research

Keywords: Demand and Price Analysis; Livestock Production/Industries; Research Methods/ Statistical Methods;

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  1. 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.
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Cited by:
  1. Weaver, Robert D & Natcher, William C, 2000. "Commodity Price Volatility under New Market Orientations," MPRA Paper 9862, University Library of Munich, Germany.
  2. Rezitis, Anthony N., 2003. "Volatility Spillover Effects in Greek Consumer Meat Prices," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 4(1), January.
  3. Framingham, Charles F. & Craddock, W.J., 1974. "Urban Implications of Regional and Interregional Efficiency in Agricultural Production," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 4(1).
  4. Yang, Seung-Ryong & Koo, Won W. & Wilson, William W., 1992. "Heteroskedasticity In Crop Yield Models," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 17(01), July.
  5. 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.
  6. Anonymous, 2012. "Journal of International Agricultural Trade and Development, Volume 8, Issue 1," Journal of International Agricultural Trade and Development, Journal of International Agricultural Trade and Development, vol. 8(1).
  7. 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.
  8. Kirk, Robert, 1971. "Growth Potential Identification and Public Investment Strategy," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 1(1).
  9. 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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