Price Volatility of Grains: Relationship with Crude Oil Price Using CCC-Multivariate GARCH Model
Areerat Todsadee, Hiroshi Kameyama and Shoichi Ito
DOI : 10.3844/ajebasp.2014.138.142
American Journal of Economics and Business Administration
Volume 6, Issue 4
Agricultural commodities prices have increased and become significantly more volatile during the past few years periods. The high agricultural commodity prices in recent years have raised the question of whether or not volatility is increasing and leading to more frequent extreme price swings. It is very important to quantify price variability of agricultural products. This paper measures the volatility of food commodity prices using multivariate GARCH. Lagged conditional variance and lagged square distribute have an important on the conditional variance. Moreover, the coefficient of the lagged squared effect was positive and statistically significant for feed crop market. We conclude that strong GARCH effects were apparent for agricultural market.
© 2014 Areerat Todsadee, Hiroshi Kameyama and Shoichi Ito. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.