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Modelling Long Memory Volatility in Agricultural Commodity Futures Returns


Chang, Chia-Lin y McAleer, Michael y Tansuchat, Roengchai (2012) Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 10, 2012, ] (No publicado)

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This paper estimates a long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the FIGARCH model of Baillie et al. (1996), FIEGARCH model of Bollerslev and Mikkelsen (1996), and FIAPARCH model of Tse (1998), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of Ding et al. (1993). The estimated d parameters, indicating long-term dependence, suggest that fractional integration is found in most of agricultural commodity futures returns series. In addition, the FIGARCH (1,d,1) and FIEGARCH(1,d,1) models are found to outperform their GARCH(1,1) and EGARCH(1,1) counterparts.

Tipo de documento:Documento de trabajo o Informe técnico
Información Adicional:

For financial support, the first author is most grateful to the National Science Council,
Taiwan, the second author wishes to thank the Australian Research Council, National Science
Council, Taiwan, and the Japan Society for the Promotion of Science, and the third author acknowledges the Faculty of Economics, Maejo University.

Palabras clave:Long memory, Agricultural commodity futures, Fractional integration, Asymmetric, Conditional volatility.
Materias:Ciencias Sociales > Economía > Econometría
JEL:Q14, Q11, Q22, Q51
Título de serie o colección:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Código ID:15093

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