Application Of Garch Models In Forecasting The Volatility Of Agricultural Commodities
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References listed on IDEAS
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More about this item
KeywordsGARCH; commodities; volatility; forecasting; risk management;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-AGR-2006-01-01 (Agricultural Economics)
- NEP-ALL-2006-01-01 (All new papers)
- NEP-ETS-2006-01-01 (Econometric Time Series)
- NEP-FIN-2006-01-01 (Finance)
- NEP-FOR-2006-01-01 (Forecasting)
- NEP-RMG-2006-01-01 (Risk Management)
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