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GARCH Time Series Models: An Application to Retail Livestock Prices

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Author Info
Satheesh V. Aradhyula
Matthew T. Holt

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Abstract

Traditional time series models assume a constant conditional variance. Realizing the implausibility of this assumption, Bollerslev proposed Generalized Autoregressive Conditional Heteroscedasticity (GARSH) processes, which are characterized by nonconstant conditional variances. In this paper, GARCH (1,1) processes were applied to model livestock prices. Results indicate that GARCH processes adequately describe retail meat price behavior.

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File URL: http://www.card.iastate.edu/publications/DBS/PDFFiles/88wp29.pdf
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Publisher Info
Paper provided by Center for Agricultural and Rural Development (CARD) at Iowa State University in its series Center for Agricultural and Rural Development (CARD) Publications with number 88-wp29.

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Date of creation: May 1988
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Handle: RePEc:ias:cpaper:88-wp29

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  1. 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. [Downloadable!]
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(explanations, 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.)

  1. 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. [Downloadable!]
  2. Rezitis, Anthony, 2003. "Volatility Spillover Effects in Greek Consumer Meat Prices," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 4(1), January. [Downloadable!]
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