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Price Volatility of Grains: Relationship with Crude Oil Price Using CCC-Multivariate GARCH Model

Author

Listed:
  • Areerat Todsadee
  • Hiroshi Kameyama
  • Shoichi Ito

Abstract

Agricultural commodities prices have increased and become significantly more volatile during the past few years periods. The high agricultural commodity prices in recent years have raised the question of whether or not volatility is increasing and leading to more frequent extreme price swings. It is very important to quantify price variability of agricultural products. This paper measures the volatility of food commodity prices using multivariate GARCH. Lagged conditional variance and lagged square distribute have an important on the conditional variance. Moreover, the coefficient of the lagged squared effect was positive and statistically significant for feed crop market. We conclude that strong GARCH effects were apparent for agricultural market.

Suggested Citation

  • Areerat Todsadee & Hiroshi Kameyama & Shoichi Ito, 2015. "Price Volatility of Grains: Relationship with Crude Oil Price Using CCC-Multivariate GARCH Model," American Journal of Economics and Business Administration, Science Publications, vol. 6(4), pages 138-142, January.
    • Handle: RePEc:abk:jajeba:ajebasp.2014.138.142
    DOI: 10.3844/ajebasp.2014.138.142
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    References listed on IDEAS

    as
    1. Brian D. Wright, 2011. "The Economics of Grain Price Volatility," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 33(1), pages 32-58.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    3. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
    4. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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