Consulta: subjectFacets:"GARCH"
Registros recuperados: 16
Data/hora: 10/06/2024 07:38:08

Estimación del Indice de Volatilidad México (VIMEX@) usando modelos GARCH.
Provedor de dados: 32
Autores: Ruiz González, Alberto.
Debido a la importancia que tiene el concepto de volatilidad en los mercados financieros, este concepto ha sido tomado como un indicador de riesgo y se han generado indicadores y productos derivados referenciados a la volatilidad en los principales mercados del mundo. La principal utilidad de este índice es dar información sobre los niveles de volatilidad del mercado. El Mercado Mexicano de Derivados (MexDer) no se ha quedado rezagado en este sentido, por lo que se publica el Indice de Volatilidad México (VIMEX@). En este trabajo de tesis, se ajusta un modelo GARCH(1,1) a los rendimientos semanales del VIMEX@ para modelar la varianza y para modelar la media se incluye un proceso AR(2), el cual resulta ser cero en el modelo final. El modelo ajustado produce...
Palavras-chave: GARCH; Indices de volatilidad; MexDer; VIMEX; Volatilidad; Volatility rate; Volatility; Estadística; Maestría.
Ano: 2011
URL: http://hdl.handle.net/10521/650

THE TRANSMISSION OF PRICE VOLATILITY IN THE BEEF MARKETS
Provedor de dados: 31
Autores: Natcher,   William C.; Weaver,   Robert D.
This paper reconsiders the implications of efficient markets for transmission of price volatility across markets.  Tests of volatility transmission are based on conditional variances.  Results are reported for key grain and beef markets.  Transmission across cash, futures, and options is considered.
Tipo: Conference Paper or Presentation
Palavras-chave: Cointegration; GARCH; Market Efficiency; Beef Markets; Demand and Price Analysis; Livestock Production/Industries.
Ano: 1999
URL: http://purl.umn.edu/21511

Measuring Volatility in Dairy Commodity Prices
Provedor de dados: 31
Autores: O'Connor,   Declan; Keane,   Michael; Barnes,   Edel.
The policy environment facing the EU dairy industry continues to undergo considerable change under WTO and CAP reform. Movement away from supply management by the EU and a more liberal global agricultural trading system will involve greater price volatility for dairy commodities. It is anticipated that EU dairy prices will more closely align with world prices. World prices are both lower and more volatile than EU prices and it is further assumed that this increased volatility will be transmitted to EU prices. Price volatility is a concern for a number of reasons as it adds challenges for business planning, debt repayment, and, in some cases, solvency. Representative EU and world butter and SMP (Skim Milk Powder) prices are considered and using the ARMA and...
Tipo: Conference Paper or Presentation
Palavras-chave: Price Volatility; ARMA; GARCH; Butter; SMP; Dairy Policy; Agricultural and Food Policy; Food Consumption/Nutrition/Food Safety.
Ano: 2009
URL: http://purl.umn.edu/58106

Price volatility in ethanol markets
Provedor de dados: 31
Autores: Serra,   Teresa; Zilberman,   David.
Our paper looks at how price volatility in the Brazilian ethanol industry changes over time and across markets by using a new methodological approach suggested by Seo (2007). The main advantage of Seo’s proposal over previously existing methods is that it allows to jointly estimate the cointegration relationship between the price series investigated and the multivariate GARCH process. Our results suggest that crude oil prices not only influence ethanol price levels, but also their volatility. Increased volatility in crude oil markets results in increased volatility in ethanol markets. Ethanol prices, on the other hand, influence sugar price levels and an increase in their volatility levels also impacts, though less strongly, on sugar markets.
Tipo: Conference Paper or Presentation
Palavras-chave: Volatility; Ethanol; GARCH; Cointegration; Demand and Price Analysis; Resource /Energy Economics and Policy; Risk and Uncertainty; Q11; C32.
Ano: 2009
URL: http://purl.umn.edu/49188

On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting
Provedor de dados: 31
Autores: Chevallier,   Julien; Benoit,   Sevi.
The recent implementation of the EU Emissions Trading Scheme (EU ETS) in January 2005 created new financial risks for emitting firms. To deal with these risks, options are traded since October 2006. Because the EU ETS is a new market, the relevant underlying model for option pricing is still a controversial issue. This article improves our understanding of this issue by characterizing the conditional and unconditional distributions of the realized volatility for the 2008 futures contract in the European Climate Exchange (ECX), which is valid during Phase II (2008-2012) of the EU ETS. The realized volatility measures from naive, kernel-based and subsampling estimators are used to obtain inferences about the distributional and dynamic properties of the ECX...
Tipo: Working or Discussion Paper
Palavras-chave: CO2 Price; Realized Volatility; HAR-RV; GARCH; Futures Trading; Emissions Markets; EU ETS; Intraday data; Forecasting; Environmental Economics and Policy; C5; G1; Q4.
Ano: 2009
URL: http://purl.umn.edu/55834

Febre aftosa e volatilidade dos preços do produtor de carne suína
Provedor de dados: 31
Autores: Otuki,   Thiago Fleith; Weydmann,   Celso Leonardo; Seabra,   Fernando.
FMD focuses were found again in Brazil in 2004 and 2005, which caused embargo for Brazilian exports of pork meat. This paper investigates the volatility of prices received by pig producers after the FMD focus were found. Using a GARCH model, including a variable indicating FMD events, we cannot reject the hypothesis that the disease caused high pork price volatility. The conclusion is the FMD disease is related not only to losses due to embargoes but also to the increase of pork price volatility, which brings about instability to businesses and to pig producers income.
Tipo: Journal Article
Palavras-chave: Foot and mouth disease; Pork; Volatility; GARCH; Demand and Price Analysis.
Ano: 2009
URL: http://purl.umn.edu/56855

Structural Breaks and Financial Volatility: Lessons from BRIC Countries
Provedor de dados: 31
Autores: Morales,   Lucia; Gassie,   Esmeralda.
Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices and emerging economies, where a clear gap of research have been found regarding to the BRIC financial markets and the effects of the 2007-2009 World economy crisis. This lack of research might appear as surprising given that energy markets are of particular interest as they are considered a fundamental reference for economic recovery and growth. Therefore, this work aims to address this gap on the literature by looking at the BRIC financial markets and their co-movements with regard to some energy markets (oil, natural...
Tipo: Conference Paper or Presentation
Palavras-chave: BRIC; Energy Markets; GARCH; T-GARCH modeling; Volatility; Agribusiness; F; G.
Ano: 2011
URL: http://purl.umn.edu/115523

The Volatility Spillover Effects and Optimal Hedging Strategy in the Corn Market
Provedor de dados: 31
Autores: Wu,   Feng; Guan,   Zhengfei.
This article examines the volatility spillovers from energy market to corn market. Using a volatility spillover model from the finance literature, we found significant spillovers from energy market to corn cash and futures markets, and the spillover effects are time-varying. The business cycle proxied by crude oil prices is shown to affect the magnitude of spillover effects over time. Based on the strong informational linkage between energy market and corn market, a cross hedge strategy is proposed and its performance studied. The simulation outcomes show that compared to alternative strategies of no hedge, constant hedge, and GARCH hedge, the cross hedge does not yield superior risk-reduction performance.
Tipo: Conference Paper or Presentation
Palavras-chave: Volatility Spillover; GARCH; Optimal Hedge Ratio; Energy Price; Corn Price; Risk and Uncertainty.
Ano: 2009
URL: http://purl.umn.edu/49453

HIGH PRICE VOLATILITY AND SPILLOVER EFFECTS IN ENERGY MARKETS
Provedor de dados: 31
Autores: Singh,   Aaron; Karali,   Berna; Ramirez,   Octavio A.
Replaced with revised version of paper 07/22/11.
Tipo: Conference Paper or Presentation
Palavras-chave: Asymmetric shocks; Energy markets; Oil; Spillover effects; Volatility; Marketing; Resource /Energy Economics and Policy; GARCH.
Ano: 2011
URL: http://purl.umn.edu/103593

INTERNATIONAL MARKET INTEGRATION UNDER WTO: EVIDENCE IN THE PRICE BEHAVIORS OF CHINESE AND US WHEAT FUTURES
Provedor de dados: 31
Autores: Du,   Wen.
China's 10-year old wheat futures market, the China Zhengzhou Commodity Exchange (CZCE) has been in stable development since establishment and is expected to be integrated to the world market after China joined WTO.  This paper compares the price behavior of CZCE with that of the Chicago Board of trade (CBOT) in the US using ARCH/GARCH based univariate and multivariate time series models for the period between 1999 and 2003, around when China joined the World Trade Organization (WTO).  Results show both markets can be modeled by an ARCH (1) or a GARCH (1,1), and the models have better fit when conditional error variance is t distributed.  The price series in CZCE and CBOT are interrelated but not cointegrated.  The existing interrelations between the two...
Tipo: Conference Paper or Presentation
Palavras-chave: Integration; Wheat; Futures price; GARCH; China; Demand and Price Analysis; International Relations/Trade; G15; Q14.
Ano: 2004
URL: http://purl.umn.edu/20115

Inside the Black Box: Price Linkage and Transmission Between Energy and Agricultural Markets
Provedor de dados: 31
Autores: Du,   Xiaodong; McPhail,   Lihong Lu.
This study addresses the complex relationship between energy and agricultural markets—represented by corn, ethanol, and gasoline prices—particularly in light of the growth in biofuel production. Contemporaneous price response and transmission of market shocks are investigated in a simultaneous-equation system to disclose fundamental driving forces before and after the development of large-scale ethanol production. We use a dynamic conditional correlation multivariate GARCH model to demonstrate a strengthening relationship among corn, ethanol, and gasoline prices. We identify a structural change point at March 25, 2008 using the test by Bai and Perron (2003).  The strengthened market relationship is further illustrated by variance decomposition based on a...
Tipo: Conference Paper or Presentation
Palavras-chave: Corn; Ethanol; Gasoline; Structural break; Structural VAR; GARCH; Agricultural and Food Policy; Demand and Price Analysis; Research Methods/ Statistical Methods; Resource /Energy Economics and Policy; C32; Q11; Q4.
Ano: 2011
URL: http://purl.umn.edu/103268

Estimating the Effects of Exchange Rate Volatility on Export Volumes
Provedor de dados: 31
Autores: Wang,   Kai-Li; Barrett,   Christopher B.
This paper takes a new empirical look at the long-standing question of the effect of exchange rate volatility on international trade flows by studying the case of Taiwan's exports to the United States from 1989-1998. In particular, we employ sectoral-level, monthly data and an innovative multivariate GARCH-M estimator with corrections for leptokurtic errors. This estimator allows for the possibility that traders' forward-looking contracting behavior might condition the way in which exchange rate movement and associated risk affect trade volumes. Change in importing country industrial production and change in the expected exchange rate are found to jointly drive the trade volumes. More strikingly, monthly exchange rate volatility affects agricultural trade...
Tipo: Journal Article
Palavras-chave: Agricultural trade; Exchange rate; Expectations; GARCH; International Relations/Trade.
Ano: 2007
URL: http://purl.umn.edu/8643

Fundamentals and US natural gas price dynamics
Provedor de dados: 31
Autores: Qin,   Xiaoyan; Bessler,   David A.; Leatham,   David J.; Wu,   Ximing; Gan,   Li.
Investigation into the relations between market fundamentals and US natural gas prices is carried out in the regime-switching framework. To test the hypothesis that US natural gas market may switch between two states of market: bullish market and bearish market, a 2-state regime-switching model with Markov transition chain is carried out. GARCH effects are also built into the model to account for the conditional heteroskedasticity. Short-term forecasts based on the regime-switching model are also provided.  Empirical results suggest that real world natural gas price behavior is far more complicated than that predicted by fundamental models. Volatility which cannot be explained by fundamentals plays an essential role in natural gas price behavior. The major...
Tipo: Conference Paper or Presentation
Palavras-chave: US natural gas price behaviors; Markov-switching model; GARCH; Resource /Energy Economics and Policy.
Ano: 2010
URL: http://purl.umn.edu/56501

Forecasting Agricultural Commodity Prices with Asymmetric-Error GARCH Models
Provedor de dados: 31
Autores: Ramirez,   Octavio A.; Fadiga,   Mohamadou L.
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.
Tipo: Journal Article
Palavras-chave: GARCH; Nonnormality; Skewness; Time-series forecasting; U.S. commodity prices; Demand and Price Analysis.
Ano: 2003
URL: http://purl.umn.edu/30714

Interrelationship and Volatility Transmission between Grain and Oil Prices
Provedor de dados: 31
Autores: Kong,   Minji; Han,   Doo Bong; Nayga,   Rodolfo M., Jr.
This study analyzes the interrelationship and volatility between grain and oil prices. Specifically, the objective of this study is to investigate the volatility transmission mechanism of grain prices with oil prices, under the assumption that an increase in crude oil prices not only affects corn and soybean prices but also other grain commodity prices such as wheat and rice. The results presented in this paper suggest several conclusions. First, there is a short-run relationship between the grain market and oil prices, which implies that recent co-movements of oil and grain prices are just a temporary phenomenon. Second, grain prices, except for rice, are affected by oil prices to some degree. Finally, the volatilities of oil prices influence the...
Tipo: Presentation
Palavras-chave: Grain prices; Volatility; Volatility Transmission; VAR; GARCH; Resource /Energy Economics and Policy.
Ano: 2012
URL: http://purl.umn.edu/124377

Modeling Pork Supply Response and Price Volatility: The Case of Greece
Provedor de dados: 31
Autores: Rezitis,   Anthony N.; Stavropoulos,   Konstantinos S.
This paper examines the supply response of the Greek pork market. A GARCH process is used to estimate expected price and price volatility, while price and supply equations are estimated jointly. In addition to the standard GARCH model, several different symmetric, asymmetric, and nonlinear GARCH models are estimated. The empirical results indicate that among the estimated GARCH models, the quadratic NAGARCH model seems to better describe producers’ price volatility, which was found to be an important risk factor of the supply response function of the Greek pork market. Furthermore, the empirical findings show that feed price is an important cost factor of the supply response function and that high uncertainty restricts the expansion of the Greek pork...
Tipo: Journal Article
Palavras-chave: Asymmetry; GARCH; Pork supply; Price volatility; Agribusiness; Demand and Price Analysis; International Development; Risk and Uncertainty; C510; D200; Q110.
Ano: 2009
URL: http://purl.umn.edu/48764