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Price volatility and accuracy of price risk measurement depending on methods and data aggregation: The case of wheat prices in the EU countries

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  • Figiel, Szczepan
  • Hamulczuk, Mariusz
  • Klimkowski, Cezary
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    Abstract

    In this paper we use weekly milling wheat price series for nine selected EU countries to evaluate levels and components of volatility in the period from July 2004 to April 2011 and to examine how sensitive the results can be to spatial aggregation of the price data. The prices were analyzed in levels and logarithmic rate of returns. To asses price risk, apart from basic measures of price variability, the price series were decomposed using multiplicative model in order to determine shares of seasonal and random components in the total variance of the prices. We also applied ARMAX model to separate the stochastic components of the price series to properly evaluate real price risk exposure and tested for ARCH and GARCH effects. We found considerable differences when comparing various price volatility measures calculated for the analyzed countries indicating that wheat price risk exposure may vary across the EU.

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    Bibliographic Info

    Paper provided by European Association of Agricultural Economists in its series 123rd Seminar, February 23-24, 2012, Dublin, Ireland with number 122549.

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    Date of creation: 23 Feb 2012
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    Handle: RePEc:ags:eaa123:122549

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    Related research

    Keywords: wheat prices; volatility; price risk; data aggregation; Risk and Uncertainty; C22;

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    1. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
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