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He, Hai. |
Taking the price of grain in Guizhou Province as an example, by establishing GARCH model, I calculate VAR of logarithm return of grain price index, in order to conduct research on the variation law of price of the agricultural products. The results show that VAR of grain in Guizhou has variation. After the year 2010, VAR value is gradually increasing, and the price variation risk of grain market tends to increase progressively. Based on the characteristics of grain price variation, a series of corresponding proposals are put forward to stabilize the grain price as follows: strengthen the agricultural infrastructure construction, and promote the agricultural overall production capacity; reinforce the market supervision on the circulation field of... |
Tipo: Article |
Palavras-chave: Price of agricultural products; Price fluctuation; GARCH model; VAR; China; Agribusiness. |
Ano: 2011 |
URL: http://purl.umn.edu/121275 |
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Lamounier, Wagner Moura. |
It was intended in this research to detect and to analyze the existence of conditional volatility in the time series of the prices of the spot market of the Brazilian coffee in the New York Board of Trade (NYBOT) in the period between January of 1946 and December of 2000. The results of the models of GARCH type, applied for the prices of the coffee, indicated that the conditional variance of the residues of the models possess unit roots and the same one will not present a behavior of reversion to its historical average with passing of the time, after a shock. This happens because, the coefficients of volatility persistence had been all bigger or next to one |
Tipo: Journal Article |
Palavras-chave: Volatility; GARCH model; Coffee prices.. |
Ano: 2006 |
URL: http://purl.umn.edu/43814 |
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