Research Article Open Access

Price Volatility of Grains: Relationship with Crude Oil Price Using CCC-Multivariate GARCH Model

Areerat Todsadee1, Hiroshi Kameyama2 and Shoichi Ito3
  • 1 Prince of Songkla University, Thailand
  • 2 Kagawa University, Japan
  • 3 Kyushu University, Japan

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.

American Journal of Economics and Business Administration
Volume 6 No. 4, 2014, 138-142

DOI: https://doi.org/10.3844/ajebasp.2014.138.142

Submitted On: 5 December 2014 Published On: 2 January 2015

How to Cite: Todsadee, A., Kameyama, H. & Ito, S. (2014). Price Volatility of Grains: Relationship with Crude Oil Price Using CCC-Multivariate GARCH Model. American Journal of Economics and Business Administration, 6(4), 138-142. https://doi.org/10.3844/ajebasp.2014.138.142

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Keywords

  • Agricultural Commodities
  • Price
  • Volatility
  • Multivariate GARCH
  • Crude Oil