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GARCH Time Series Models: An Application to Retail Livestock Prices

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  • Satheesh V. Aradhyula
  • Matthew T. Holt

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.

Suggested Citation

  • Satheesh V. Aradhyula & Matthew T. Holt, 1988. "GARCH Time Series Models: An Application to Retail Livestock Prices," Food and Agricultural Policy Research Institute (FAPRI) Publications 88-wp29, Food and Agricultural Policy Research Institute (FAPRI) at Iowa State University.
  • Handle: RePEc:ias:fpaper: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," Food and Agricultural Policy Research Institute (FAPRI) Publications 88-wp33, Food and Agricultural Policy Research Institute (FAPRI) at Iowa State University.
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    Cited by:

    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.
    2. Lei, Li-Fen, 1992. "Using futures and option contracts to manage price and quantity risk: A case of corn farmers in central Iowa," ISU General Staff Papers 1992010108000011326, Iowa State University, Department of Economics.
    3. Weaver, Robert D & Natcher, William C, 2000. "Commodity Price Volatility under New Market Orientations," MPRA Paper 9862, University Library of Munich, Germany.
    4. Shekar Bose, 2001. "Price volatility of south-east fishery's quota species: an empirical analysis," International Economic Journal, Taylor & Francis Journals, vol. 18(3), pages 283-297.
    5. Anonymous, 2012. "Journal of International Agricultural Trade and Development, Volume 08, Issue 1," Journal of International Agricultural Trade and Development, Journal of International Agricultural Trade and Development, vol. 8(1).
    6. Kirk, Robert, 1971. "Growth Potential Identification and Public Investment Strategy," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 1(1).
    7. Aizhen Li & Boris E. Bravo-Ureta & David K. Okello & Carl M. Deom & Naveen Puppala, 2013. "Groundnut Production and Climatic Variability: Evidence from Uganda," Working Papers 17, University of Connecticut, Department of Agricultural and Resource Economics, Charles J. Zwick Center for Food and Resource Policy.
    8. Omar Enrique Castillo Nuñez, 2008. "Comportamiento de los precios del ganado hembra de levante de primera clase en Montería y Sincelejo (Colombia)," REVISTA FACULTAD DE CIENCIAS ECONÓMICAS, UNIVERSIDAD MILITAR NUEVA GRANADA, December.
    9. Framingham, Charles F. & Craddock, W.J., 1974. "Urban Implications of Regional and Interregional Efficiency in Agricultural Production," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 4(1).
    10. Anonymous, 1990. "Structural Change in Livestock: Causes, Implications, Alternatives," Research Institute on Livestock Pricing Publications 232728, Virginia Tech, Department of Agricultural and Applied Economics.
    11. Rezitis, Anthony N., 2003. "Volatility Spillover Effects in Greek Consumer Meat Prices," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 4(1), January.
    12. Maurice, Noemie & Davis, Junior, 2011. "Unravelling the underlying causes of price volatility in world coffee and cocoa commodity markets," MPRA Paper 43813, University Library of Munich, Germany, revised 2012.

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