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농촌경제

A LONG MEMORY CONDITIONAL VARIANCE MODEL FOR INTERNATIONAL GRAIN MARKETS

2008.05.01 8095
연구보고서 표지
  • 저자
    진현정
  • 등록일
    2008.05.01
  • 연구주제
    농업생산유통
원문보기
목차

1. Introduction
2. The GARCH and FIGARCH Processes
3. Data
4. Empirical Results
5. Relaxing the Normality Assumption
6. Summary and Conclusion

요약문

The study explores a long memory conditional volatility model on international grain markets, demonstrating importance of modeling both temporal effects of volatility and long memory process. This study adopts six different volatility models, nested in an ARMA(p,q)- FIGARCH(P,D,Q), to capture dependence of grain cash price volatility and compares the performance of the six models. It also visits a related question about non-normal behaviors of grain prices and adopts the student-t density intended to account for fat-tailed properties of the data. We find suitability of the FIGARCH type models under the student-t distribution and competitiveness of the parsimonious FIGARCH(1,d,0) for modeling long memory volatility.

The study explores a long memory conditional volatility model on international grain markets, demonstrating importance of modeling both temporal effects of volatility and long memory process. This study adopts six different volatility models, nested in an ARMA(p,q)- FIGARCH(P,D,Q), to capture dependence of grain cash price volatility and compares the performance of the six models. It also visits a related question about non-normal behaviors of grain prices and adopts the student-t density intended to account for fat-tailed properties of the data. We find suitability of the FIGARCH type models under the student-t distribution and competitiveness of the parsimonious FIGARCH(1,d,0) for modeling long memory volatility.

저자정보
진현정Jin, Hyunjoung
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