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Forecasting Agricultural Commodity Prices with Asymmetric-Error GARCH Models

Author Info

Listed author(s):
  • Ramirez, Octavio A.
  • Fadiga, Mohamadou L.

Abstract

The performance of a proposed asymmetric-error GARCH model is evaluated in comparison to the normal-error- and Student-t-GARCH models through three applications involving forecasts of U.S. soybean, sorghum, and wheat prices. The applications illustrate the relative advantages of the proposed model specification when the error term is asymmetrically distributed, and provide improved probabilistic forecasts for the prices of these commodities.

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File URL: http://purl.umn.edu/30714
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Article provided by Western Agricultural Economics Association in its journal Journal of Agricultural and Resource Economics.

Volume (Year): 28 (2003)
Issue (Month): 01 (April)
Pages:

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Handle: RePEc:ags:jlaare:30714
Contact details of provider: Web page: http://waeaonline.org/

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Keywords: GARCH; nonnormality; skewness; time-series forecasting; U.S. commodity prices; Demand and Price Analysis;

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  1. Krinsky, Itzhak & Robb, A Leslie, 1986. "On Approximating the Statistical Properties of Elasticities," The Review of Economics and Statistics, MIT Press, vol. 68(4), pages 715-719, November.
  2. Kai-Li Wang & Christopher Fawson & Christopher B. Barrett & James B. McDonald, 2001. "A flexible parametric GARCH model with an application to exchange rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 521-536.
  3. McDonald, James B. & Newey, Whitney K., 1988. "Partially Adaptive Estimation of Regression Models via the Generalized T Distribution," Econometric Theory, Cambridge University Press, vol. 4(03), pages 428-457, December.
  4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  5. McDonald, James B., 1989. "Partially adaptive estimation of ARMA time series models," International Journal of Forecasting, Elsevier, vol. 5(2), pages 217-230.
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Cited by:

  1. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  2. Benz, Eva & Trück, Stefan, 2009. "Modeling the price dynamics of CO2 emission allowances," Energy Economics, Elsevier, vol. 31(1), pages 4-15, January.
  3. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, Elsevier.
  4. Bekkerman, Anton & Pelletier, Denis, 2009. "Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49281, Agricultural and Applied Economics Association.
  5. Ramirez, Octavio A. & Mohanty, Samarendu & Carpio, Carlos E. & Denning, Megan, 2004. "Issues and Strategies for Aggregate Supply Response Estimation for Policy Analyses," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 36(02), August.

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