Forecasting Agricultural Commodity Prices with Asymmetric-Error GARCH Models

Date

2003

Authors

Fadiga, Mohamadou L.
Ramirez, Octavio A.

Journal Title

Journal ISSN

Volume Title

Publisher

Western Agricultural Economics Association

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.

Description

Keywords

U.S. commodity prices, time-series forecasting, skewness, nonnormality, GARCH

Citation

Ramirez, O., M. Fadiga. "Forecasting Agricultural Commodity Prices with Asymmetric-Error GARCH Models." _Journal of Agricultural and Resource Economics_ 28.1 (2003): 71-95.