Price Volatility Modelling – Wheat: GARCH Model Application

This paper is focused on the modelling of volatility in the agricultural commodity market, specifically on wheat. The aim of this study is to develop an applicable and relevant model of conditional heteroscedasticity from the GARCH family for wheat futures prices. The GARCH (1,1) model has the abili...

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Veröffentlicht in:	AGRIS on-line Papers in Economics and Informatics 2017, Vol.9 (4), p.15-24
Hauptverfasser:	Čermák, M, Malec, K, Maitah, M
Format:	Artikel
Sprache:	eng
Schlagworte:	Agricultural Finance CME forecasting futures contracts GARCH price volatility Research and Development/Tech Change/Emerging Technologies wheat price
Online-Zugang:	Volltext
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