Modeling and forecasting volatility in global food commodity prices
To capture the volatility in the global food commodity prices, we employed two competing models, the thin tailed the normal distribution, and the fat-tailed Student t-distribution models. Results based on wheat, rice, sugar, beef, coffee, and groundnut prices, during the sample period from October 1...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Czech Academy of Agricultural Sciences
2011-03-01
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| Series: | Agricultural Economics (AGRICECON) |
| Subjects: | |
| Online Access: | https://agricecon.agriculturejournals.cz/artkey/age-201103-0003_modeling-and-forecasting-volatility-in-global-food-commodity-prices.php |
| _version_ | 1797900077386170368 |
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| author | Ibrahim A. ONOUR Bruno S. SERGI |
| author_facet | Ibrahim A. ONOUR Bruno S. SERGI |
| author_sort | Ibrahim A. ONOUR |
| collection | DOAJ |
| description | To capture the volatility in the global food commodity prices, we employed two competing models, the thin tailed the normal distribution, and the fat-tailed Student t-distribution models. Results based on wheat, rice, sugar, beef, coffee, and groundnut prices, during the sample period from October 1984 to September 2009, show the t-distribution model outperforms the normal distribution model, suggesting that the normality assumption of residuals which are often taken for granted for its simplicity may lead to unreliable results of the conditional volatility estimates. The paper also shows that the volatility of food commodity prices characterized with the intermediate and short memory behavior, implying that the volatility of food commodity prices is mean reverting. |
| first_indexed | 2024-04-10T08:39:15Z |
| format | Article |
| id | doaj.art-4a1aa77b7c404f058cdedc336923fa22 |
| institution | Directory Open Access Journal |
| issn | 0139-570X 1805-9295 |
| language | English |
| last_indexed | 2024-04-10T08:39:15Z |
| publishDate | 2011-03-01 |
| publisher | Czech Academy of Agricultural Sciences |
| record_format | Article |
| series | Agricultural Economics (AGRICECON) |
| spelling | doaj.art-4a1aa77b7c404f058cdedc336923fa222023-02-23T03:24:05ZengCzech Academy of Agricultural SciencesAgricultural Economics (AGRICECON)0139-570X1805-92952011-03-0157313213910.17221/28/2010-AGRICECONage-201103-0003Modeling and forecasting volatility in global food commodity pricesIbrahim A. ONOUR0Bruno S. SERGI1Arab Planning Institute, Kuwait, KuwaitFaculty of Political Science, University of Messina, Messina, ItalyTo capture the volatility in the global food commodity prices, we employed two competing models, the thin tailed the normal distribution, and the fat-tailed Student t-distribution models. Results based on wheat, rice, sugar, beef, coffee, and groundnut prices, during the sample period from October 1984 to September 2009, show the t-distribution model outperforms the normal distribution model, suggesting that the normality assumption of residuals which are often taken for granted for its simplicity may lead to unreliable results of the conditional volatility estimates. The paper also shows that the volatility of food commodity prices characterized with the intermediate and short memory behavior, implying that the volatility of food commodity prices is mean reverting.https://agricecon.agriculturejournals.cz/artkey/age-201103-0003_modeling-and-forecasting-volatility-in-global-food-commodity-prices.phpvolatilityforecastfat-tail distributionfood commodities |
| spellingShingle | Ibrahim A. ONOUR Bruno S. SERGI Modeling and forecasting volatility in global food commodity prices Agricultural Economics (AGRICECON) volatility forecast fat-tail distribution food commodities |
| title | Modeling and forecasting volatility in global food commodity prices |
| title_full | Modeling and forecasting volatility in global food commodity prices |
| title_fullStr | Modeling and forecasting volatility in global food commodity prices |
| title_full_unstemmed | Modeling and forecasting volatility in global food commodity prices |
| title_short | Modeling and forecasting volatility in global food commodity prices |
| title_sort | modeling and forecasting volatility in global food commodity prices |
| topic | volatility forecast fat-tail distribution food commodities |
| url | https://agricecon.agriculturejournals.cz/artkey/age-201103-0003_modeling-and-forecasting-volatility-in-global-food-commodity-prices.php |
| work_keys_str_mv | AT ibrahimaonour modelingandforecastingvolatilityinglobalfoodcommodityprices AT brunossergi modelingandforecastingvolatilityinglobalfoodcommodityprices |