Template-Type: ReDIF-Article 1.0
Author-Name: Areerat Todsadee
Author-Name: Hiroshi Kameyama
Author-Name: Shoichi Ito
Title:  Price Volatility of Grains: Relationship with Crude Oil Price Using CCC-Multivariate GARCH Model
Abstract:  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.
Keywords: Agricultural Commodities, Price, Volatility, Multivariate GARCH, Crude Oil
Journal: American Journal of Economics and Business Administration
Pages: 138-142
Volume: 6
Issue: 4
Year: 2015
Month: January
DOI: 10.3844/ajebasp.2014.138.142
File-URL: https://thescipub.com/pdf/ajebasp.2014.138.142.pdf
File-Format: Application/pdf
File-URL: https://thescipub.com/abstract/ajebasp.2014.138.142
File-Format: text/html
Handle: RePEc:abk:jajeba:ajebasp.2014.138.142