|
AgEcon Search >
Journal of Agricultural and Applied Economics >
Volume 33, Number 03, December 2001 >
Please use this identifier to cite or link to this item:
http://purl.umn.edu/15449
|
| Title: | FORECASTING FED CATTLE, FEEDER CATTLE, AND CORN CASH PRICE VOLATILITY: THE ACCURACY OF TIME SERIES, IMPLIED VOLATILITY, AND COMPOSITE APPROACHES |
| Authors: | Manfredo, Mark R.
Leuthold, Raymond M.
Irwin, Scott H. |
| Keywords: | composite forecasting
implied volatility
time series
volatility forecasting. |
| Issue Date: | 2001-12 |
| Abstract: | Economists and others need estimates of future cash price volatility to use in risk management evaluation and education programs. This paper evaluates the performance of alternative volatility forecasts for fed cattle, feeder cattle, and corn cash price returns. Forecasts include time series (e.g. GARCH), implied volatility from options on futures contracts, and composite specifications. The overriding finding from this research, consistent with the existing volatility forecasting literature, is that no single method of volatility forecasting provides superior accuracy across alternative data sets and horizons. However, evidence is provided suggesting that risk managers and extension educators use composite methods when both time series implied volatilities are available. |
| URI: | http://purl.umn.edu/15449 |
| Institution/Association: | Journal of Agricultural and Applied Economics>Volume 33, Number 03, December 2001 |
| Total Pages: | 16 |
| Language: | English |
| From Page: | 523 |
| To Page: | 538 |
| Collections: | Volume 33, Number 03, December 2001
|
Files in This Item:
| File |
Size | Format |
|---|
| 33030523.pdf | 1211Kb | PDF | View/Open |
|
Recommend this item
All items in AgEcon Search are protected by copyright.
|
