IDEAS home Printed from https://ideas.repec.org/a/ags/wjagec/32111.html
   My bibliography  Save this article

Garch Time-Series Models: An Application To Retail Livestock Prices

Author

Listed:
  • Aradhyula, Satheesh V.
  • Holt, Matthew T.

Abstract

This article applies recent developments in time-series modeling to analyze the retail prices of beef, pork, and chicken. Specifically, generalized autoregressive conditional heteroscedasticity (GARCH) models were fitted to these data to determine if, unlike more traditional time-series models, the conditional variances of the underlying stochastic processes are nonconstant. The estimation results indicate that the constant conditional variances assumption can be rejected. Furthermore, ex post forecast intervals generated from the GARCH processes indicate that the forecasting accuracy of the estimated models has varied widely over time with substantial volatility occurring during the 1970s and early 1980s.

Suggested Citation

  • Aradhyula, Satheesh V. & Holt, Matthew T., 1988. "Garch Time-Series Models: An Application To Retail Livestock Prices," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 13(2), pages 1-10, December.
    • Handle: RePEc:ags:wjagec:32111
    DOI: 10.22004/ag.econ.32111
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/32111/files/13020365.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.32111?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Satheesh V. Aradhyula & Matthew T. Holt, 1989. "Risk Behavior and Rational Expectations in the U.S. Broiler Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(4), pages 892-902.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yang, Seung-Ryong & Koo, Won W. & Wilson, William W., 1992. "Heteroskedasticity In Crop Yield Models," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 17(1), pages 1-7, July.
    2. Aizhen Li & Boris E. Bravo-Ureta & David K. Okello & Carl M. Deom & Naveen Puppala, 2013. "Groundnut Production and Climatic Variability: Evidence from Uganda," Working Papers 17, University of Connecticut, Department of Agricultural and Resource Economics, Charles J. Zwick Center for Food and Resource Policy.
    3. Unknown, 1990. "Structural Change in Livestock: Causes, Implications, Alternatives," Research Institute on Livestock Pricing 232728, Virginia Polytechnic Institute and State University, Department of Agricultural and Applied Economics.
    4. Maurice, Noemie & Davis, Junior, 2011. "Unravelling the underlying causes of price volatility in world coffee and cocoa commodity markets," MPRA Paper 43813, University Library of Munich, Germany, revised 2012.
    5. Lei, Li-Fen, 1992. "Using futures and option contracts to manage price and quantity risk: A case of corn farmers in central Iowa," ISU General Staff Papers 1992010108000011326, Iowa State University, Department of Economics.
    6. Weaver, Robert D & Natcher, William C, 2000. "Commodity Price Volatility under New Market Orientations," MPRA Paper 9862, University Library of Munich, Germany.
    7. Shekar Bose, 2001. "Price volatility of south-east fishery's quota species: an empirical analysis," International Economic Journal, Taylor & Francis Journals, vol. 18(3), pages 283-297.
    8. Unknown, 2012. "Journal of International Agricultural Trade and Development, Volume 08, Issue 1," Journal of International Agricultural Trade and Development, Journal of International Agricultural Trade and Development, vol. 8(1), pages 112-112.
    9. Kirk, Robert, 1971. "Growth Potential Identification and Public Investment Strategy," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 1(1), pages 1-12.
    10. Omar Enrique Castillo Nunez, 2008. "Comportamiento de los precios del ganado hembra de levante de primera clase en Montería y Sincelejo (Colombia)," Revista Facultad de Ciencias Económicas, Universidad Militar Nueva Granada, December.
    11. Framingham, Charles F. & Craddock, W.J., 1974. "Urban Implications of Regional and Interregional Efficiency in Agricultural Production," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 4(1), pages 1-18.
    12. Rezitis, Anthony N., 2003. "Volatility Spillover Effects in Greek Consumer Meat Prices," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 4(1), pages 1-8, January.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kinnucan, Henry W., 1995. "Some Observations on Measuring Returns to Promotion in Vertical Markets," New Methodologies for Commodity Promotion Economics, October 5-6, 1995, Sacramento, California 279625, Regional Research Projects > NECC-63: Research Committee on Commodity Promotion.
    2. Burton, Diana M. & Love, H. Alan, 1996. "A Review of Alternative Expectations Regimes in Commodity Markets: Specification, Estimation, and Hypothesis Testing Using Structural Models," Agricultural and Resource Economics Review, Cambridge University Press, vol. 25(2), pages 213-231, October.
    3. Baker, Mindy L. & Hayes, Dermot J. & Babcock, Bruce A., 2008. "Crop-Based Biofuel Production under Acreage Constraints and Uncertainty," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6352, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    4. Shumway, C. Richard, 1993. "Production economics: Worthwhile investment?," Agricultural Economics, Blackwell, vol. 9(2), pages 89-108, August.
    5. Mindy L. Mallory & Dermot J. Hayes & Bruce A. Babcock, 2011. "Crop-Based Biofuel Production with Acreage Competition and Uncertainty," Land Economics, University of Wisconsin Press, vol. 87(4), pages 610-627.
    6. Matthew T. Holt & Andrew M. McKenzie, 2003. "Quasi-rational and ex ante price expectations in commodity supply models: an empirical analysis of the US broiler market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 407-426.
    7. Huang, Biing-Wen & Chen, Meng-Gu & Chang, Chia-Lin & McAleer, Michael, 2009. "Modelling risk in agricultural finance: Application to the poultry industry in Taiwan," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(5), pages 1472-1487.
    8. Weihua Liu & Donglei Zhu & Yijia Wang, 2017. "Capacity Procurement in Logistics Service Supply Chain with Demand Updating and Rational Expectation Behavior," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 34(06), pages 1-48, December.
    9. Julie SUBERVIE, 2006. "The impact of world price instability on agricultural supply according to several macroeconomic factors," Working Papers 200604, CERDI.
    10. Haigh, Michael S. & Bryant, Henry L., 2000. "Price And Price Risk Dynamics In Barge And Ocean Freight Markets And The Effects On Commodity Trading," 2000 Conference, April 17-18 2000, Chicago, Illinois 18934, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    11. Michael S. Haigh & Henry L. Bryant, 2000. "The effect of barge and ocean freight price volatility in international grain markets," Agricultural Economics, International Association of Agricultural Economists, vol. 25(1), pages 41-58, June.
    12. Sergio H. Lence & Dermot J. Hayes, 1998. "The Forward-Looking Competitive Firm under Uncertainty," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 80(2), pages 303-312.
    13. Holt, Matthew T., 1989. "A Multi-Market Rational Expectation Model with Bounded Prices: The Case of Corn and Soybeans in the U.S," Staff Papers 200485, University of Wisconsin-Madison, Department of Agricultural and Applied Economics.
    14. Pope, Rulon D. & LaFrance, Jeffrey T. & Just, Richard E., 2011. "Agricultural arbitrage and risk preferences," Journal of Econometrics, Elsevier, vol. 162(1), pages 35-43, May.
    15. Marc Baudry & Edouard Civel & Camille Tévenart, 2023. "Land allocation and the adoption of innovative practices in agriculture: a real option modelling of the underlying hidden costs," EconomiX Working Papers 2023-1, University of Paris Nanterre, EconomiX.
    16. Miranda, Mario J & Glauber, Joseph W, 1993. "Estimation of Dynamic Nonlinear Rational Expectations Models of Primary Commodity Markets with Private and Government Stockholding," The Review of Economics and Statistics, MIT Press, vol. 75(3), pages 463-470, August.
    17. Rulon D. Pope & Jeffrey T. LaFrance & Richard E. Just, 2007. "Imperfect Price Deflation in Production Systems," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 89(3), pages 738-754.
    18. Kapombe, Crispin M. & Colyer, Dale, 1998. "Modeling U.S. Broiler Supply Response: A Structural Time Series Approach," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 27(2), pages 1-11, October.
    19. Carter, Joy & Maynard, Leigh J. & Dillon, Carl R., 2000. "Perfect Cross-Hedging Opportunities Via Formula Pricing: The Case Of The Broiler Industry," 2000 Annual meeting, July 30-August 2, Tampa, FL 21765, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    20. Cho, Gyu D., 1992. "Estimation of a Wheat Acreage Response Function for Kansas," Staff Papers 118174, Kansas State University, Department of Agricultural Economics.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:wjagec:32111. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/waeaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.