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The dynamics of the Ukrainian farm wheat price volatility: Evidence from a dynamic conditional correlation GARCH model development

Author

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  • Gotz, Linde
  • Goychuk, Kateryna
  • Glauben, Thomas
  • Meyers, William H.

Abstract

This paper investigates the development of price volatility in the Ukrainian wheat market from 2005 till 2012 within a dynamic conditional correlation GARCH model. The results indicate that the export controls in Ukraine have not significantly reduced price volatility on the domestic wheat market. On the contrary, our findings suggest that the multiple and unpredictable interference of the Ukrainian government on the wheat export market has substantially increased market uncertainty which led to pronounced additional price volatility in the market.

Suggested Citation

  • Gotz, Linde & Goychuk, Kateryna & Glauben, Thomas & Meyers, William H., 2013. "The dynamics of the Ukrainian farm wheat price volatility: Evidence from a dynamic conditional correlation GARCH model development," 2013 Conference, April 22-23, 2013, St. Louis, Missouri 285798, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    • Handle: RePEc:ags:n13413:285798
    DOI: 10.22004/ag.econ.285798
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    References listed on IDEAS

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