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.