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<Article>A Long Memory Conditional Variance Model for International Grain Markets

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한국농촌경제연구원 (Korea Rural Economic Institute)|2008.05|농촌경제 (Journal of Rural Development)|제31권 제2호|pp. 81-103|DOI 10.36464/jrd.2008.31.2.005

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키워드

FIGARCHinternational grain marketsstochastic volatilitynon-normality
주제분류농업경제학

초록

The study explores a long memory conditional volatility model on international grain markets, demonstrating importance of modeling both temporal effects of volatility and long memory process. This study adopts six different volatility models, nested in an ARMA(p,q)- FIGARCH(P,D,Q), to capture dependence of grain cash price volatility and compares the performance of the six models. It also visits a related question about non-normal behaviors of grain prices and adopts the student-t density intended to account for fat-tailed properties of the data. We find suitability of the FIGARCH type models under the student-t distribution and competitiveness of the parsimonious FIGARCH(1,d,0) for modeling long memory volatility.

Abstract

The study explores a long memory conditional volatility model on international grain markets, demonstrating importance of modeling both temporal effects of volatility and long memory process. This study adopts six different volatility models, nested in an ARMA(p,q)- FIGARCH(P,D,Q), to capture dependence of grain cash price volatility and compares the performance of the six models. It also visits a related question about non-normal behaviors of grain prices and adopts the student-t density intended to account for fat-tailed properties of the data. We find suitability of the FIGARCH type models under the student-t distribution and competitiveness of the parsimonious FIGARCH(1,d,0) for modeling long memory volatility.

참고문헌 (32)

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