| Registro completo |
| Provedor de dados: |
AgEcon
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| País: |
United States
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| Título: |
Forecasting Agricultural Commodity Prices with Asymmetric-Error GARCH Models
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| Autores: |
Ramirez, Octavio A.
Fadiga, Mohamadou L.
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| Data: |
2006-09-21
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| Ano: |
2003
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| Palavras-chave: |
GARCH
Nonnormality
Skewness
Time-series forecasting
U.S. commodity prices
Demand and Price Analysis
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| Resumo: |
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.
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| Tipo: |
Journal Article
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| Idioma: |
Inglês
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| Identificador: |
23723
http://purl.umn.edu/30714
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| Editor: |
AgEcon Search
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| Relação: |
Journal of Agricultural and Resource Economics>Volume 28, Number 01, April 2003
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| Formato: |
15
application/pdf
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