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Measuring the Price Volatility of Certain Field Crops in South Africa using the ARCH/GARCH Approach AgEcon
Jordaan, Henry; Grove, Bennie; Jooste, Andre; Alemu, A.G..
The conditional volatility in the daily spot prices of the crops traded on the South African Futures Exchange (yellow maize, white maize, wheat, sunflower seed and soybeans) is determined. The volatility in the prices of white maize, yellow maize and sunflower seed have been found to vary over time, suggesting the use of the GARCH approach in these cases. Using the GARCH approach, the conditional standard deviation is the measure of volatility, and distinguishes between the predictable and unpredictable elements in the price process. This leaves only the stochastic component and is hence a more accurate measure of the actual risk associated with the price of the crop. The volatility in the prices of wheat and soybeans was found to be constant over...
Tipo: Journal Article Palavras-chave: Price volatility; Field crops; SAFEX; Time series analysis; ARCH/GARCH; Demand and Price Analysis.
Ano: 2007 URL: http://purl.umn.edu/8013
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