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SAFEX maize price volatility scrutinised AgEcon
Geyser, Mariette; Cutts, Michela.
Commodity prices in general are known to have a high volatility. This is in fact what attracts speculators. The South African futures exchange (SAFEX) is not immune to this volatility. Volatility increases the risk of paying higher prices for a specific commodity, and it also makes the use of derivative instruments to hedge against price risk more expensive. Given the importance of South Africa as a regional supplier of maize and price discovery mechanism, investigations into the volatility of the maize price are not only important, but also indispensable if all parties involved are to manage this risk. The question therefore is whether the SAFEX maize price volatility can be explained by using fundamental factors or whether this volatility is...
Tipo: Journal Article Palavras-chave: Derivative; Price volatility; Call option; Hedging; Food risk; SAFEX; CBOT; Demand and Price Analysis.
Ano: 2007 URL: http://purl.umn.edu/8009
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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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