Forecasting Agricultural Commodity Prices with Asymmetric-Error GARCH Models
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 s...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
Western Agricultural Economics Association
2003-04-01
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Series: | Journal of Agricultural and Resource Economics |
Subjects: | |
Online Access: | https://ageconsearch.umn.edu/record/30714 |