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Journal of Agricultural and Resource Economics >
Volume 28, Number 01, April 2003 >
Please use this identifier to cite or link to this item:
http://purl.umn.edu/30714
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| Title: | Forecasting Agricultural Commodity Prices with Asymmetric-Error GARCH Models |
| Authors: | Ramirez, Octavio A.
Fadiga, Mohamadou L. |
| Keywords: | GARCH
nonnormality
skewness
time-series forecasting
U.S. commodity prices |
| Issue Date: | 2003-04 |
| Abstract: | The performance of a proposed asymmetric-error GARCH model is evaluated in comparison to the normal-error- and Student-t-GARCH models through three applications involving forecasts of U.S. soybean, sorghum, and wheat prices. The applications illustrate the relative advantages of the proposed model specification when the error term is asymmetrically distributed, and provide improved probabilistic forecasts for the prices of these commodities. |
| URI: | http://purl.umn.edu/30714 |
| Institution/Association: | Journal of Agricultural and Resource Economics>Volume 28, Number 01, April 2003 |
| Total Pages: | 15 |
| Language: | English |
| From Page: | 71 |
| To Page: | 85 |
| Collections: | Volume 28, Number 01, April 2003
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| 28010071.pdf | 717Kb | PDF | View/Open |
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