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| Wang, Yuanfang; Roberts, Matthew C.. |
| Users of agricultural markets frequently need to establish accurate representations of expected future volatility. The fact that range-based volatility estimators are highly efficient has been acknowledged in the literature. However, it is not clear whether using range-based data leads to better risk management decisions. This paper compares the performance of GARCH models, range-based GARCH models, and log-range based ARMA models in terms of their forecasting abilities. The realized volatility will be used as the forecasting evaluation criteria. The conclusion helps establish an efficient forecasting framework for volatility models. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2004 |
URL: http://purl.umn.edu/20377 |
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| Wang, Yuanfang; Roberts, Matthew C.. |
| Users of agricultural markets always need to establish accurate representations of future volatility. This paper investigates the properties of realized volatility in the soybean futures market. The results indicate that the distributional properties of realized volatility based on 5-minute returns largely correspond with existing literature. The findings of three volatility measures confirm that the Mixture of Distributions Hypothesis (MDH) is valid. In contrast, the standardized daily returns display some different properties compared with stock and exchange rate data. Moreover, the parametric ARFIMA and GARCH models reflect same patterns as described in nonparametric analysis. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Realized volatility; GARCH models; ARFIMA models; Distribution; Marketing. |
| Ano: 2005 |
URL: http://purl.umn.edu/19211 |
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