GARCH Time Series Models: An Application to Retail Livestock Prices
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.
|Date of creation:||May 1988|
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- 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.
- Aradhyula, Satheesh V. & Holt, Matthew, 1989. "Risk Behavior and Rational Expectations in the U.S. Broiler Market," Staff General Research Papers 274, Iowa State University, Department of Economics.
- 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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