@article{Trujillo-Barrera:285767,
      recid = {285767},
      author = {Trujillo-Barrera, Andres Trujillo- and Garcia, Philip},
      title = {Density Forecasts of Lean Hog Futures Price},
      address = {2012-04},
      series = {NCCC-134 Applied Commodity Price Analysis, Forecasting,  and Market Risk Management},
      year = {2012},
      abstract = {High price variability in agricultural commodities  increases the importance of accurate forecasts. Density  forecasts estimate the future probability distribution of a  random variable, offering a complete description of risk.  In this paper we investigate density forecast of lean hog  prices for the 2002-2012 period for two weeks horizons. We  estimate historical densities using GARCH models with  different error distributions and generate forward looking  implied distributions, obtaining risk-neutral densities  from the information contained in options prices.  Real-world densities, which incorporate risk, are obtained  by parametric and non parametric calibration of the  risk-neutral densities. Then the predictive accuracy of the  forecasts is evaluated and compared. Goodness of fit and  out of sample log-likelihood comparisons indicate that  real-world densities outperform risk-neutral and historical  densities, suggesting the presence of risk premiums in the  lean hog markets. For the historical density forecasts, GED  error distributions for the GARCH estimations show an  adequate predictive accuracy. Meanwhile, historical  densities with normal and t-distributions show a discrete  performance.},
      url = {http://ageconsearch.umn.edu/record/285767},
      doi = {https://doi.org/10.22004/ag.econ.285767},
}