The sharp fluctuation of international grain prices is the biggest threat to international grain security, and in the context of grain financialization, the volatility of international grain prices is becoming stronger and stronger, in order to prevent the risk of grain price volatility, it is particularly necessary to clarify its volatility characteristics. This paper empirically tests the volatility characteristics of international grain prices based on the data from January 2010 to October 2021 by employing GARCH models and using the spot price of hard wheat No. 2 in Kansas City, USA as an alternative index of international grain prices. The results show that the volatility of international grain price has the characteristics of aggregation. The fluctuation of international grain price is autoregressive and its residual has ARCH effect, which indicates that it can be studied by GARCH models. Both of GARCH model and TARCH model successfully described the volatility characteristics of international grain prices. Compared with GARCH model, TARCH model simulates the form and degree of international grain price volatility better than GARCH model, furthermore, the estimation of TARCH model shows that good news can reduce the volatility of international grain prices by comparing the different effects of good news and bad news on the volatility of international food prices.
| Published in | International Journal of Business and Economics Research (Volume 12, Issue 6) |
| DOI | 10.11648/j.ijber.20231206.11 |
| Page(s) | 174-178 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
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Copyright © The Author(s), 2024. Published by Science Publishing Group |
International Grain Price, Volatility, ARCH Effect, GARCH Model, TARCH Model
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APA Style
Songhua, L., Jiayi, D., Yanxia, X. (2023). Study on the Characteristics of International Grain Price Fluctuation with GARCH Models. International Journal of Business and Economics Research, 12(6), 174-178. https://doi.org/10.11648/j.ijber.20231206.11
ACS Style
Songhua, L.; Jiayi, D.; Yanxia, X. Study on the Characteristics of International Grain Price Fluctuation with GARCH Models. Int. J. Bus. Econ. Res. 2023, 12(6), 174-178. doi: 10.11648/j.ijber.20231206.11
AMA Style
Songhua L, Jiayi D, Yanxia X. Study on the Characteristics of International Grain Price Fluctuation with GARCH Models. Int J Bus Econ Res. 2023;12(6):174-178. doi: 10.11648/j.ijber.20231206.11
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Download@article{10.11648/j.ijber.20231206.11,
author = {Li Songhua and Ding Jiayi and Xu Yanxia},
title = {Study on the Characteristics of International Grain Price Fluctuation with GARCH Models},
journal = {International Journal of Business and Economics Research},
volume = {12},
number = {6},
pages = {174-178},
doi = {10.11648/j.ijber.20231206.11},
url = {https://doi.org/10.11648/j.ijber.20231206.11},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijber.20231206.11},
abstract = {The sharp fluctuation of international grain prices is the biggest threat to international grain security, and in the context of grain financialization, the volatility of international grain prices is becoming stronger and stronger, in order to prevent the risk of grain price volatility, it is particularly necessary to clarify its volatility characteristics. This paper empirically tests the volatility characteristics of international grain prices based on the data from January 2010 to October 2021 by employing GARCH models and using the spot price of hard wheat No. 2 in Kansas City, USA as an alternative index of international grain prices. The results show that the volatility of international grain price has the characteristics of aggregation. The fluctuation of international grain price is autoregressive and its residual has ARCH effect, which indicates that it can be studied by GARCH models. Both of GARCH model and TARCH model successfully described the volatility characteristics of international grain prices. Compared with GARCH model, TARCH model simulates the form and degree of international grain price volatility better than GARCH model, furthermore, the estimation of TARCH model shows that good news can reduce the volatility of international grain prices by comparing the different effects of good news and bad news on the volatility of international food prices.
},
year = {2023}
}
TY - JOUR T1 - Study on the Characteristics of International Grain Price Fluctuation with GARCH Models AU - Li Songhua AU - Ding Jiayi AU - Xu Yanxia Y1 - 2023/11/11 PY - 2023 N1 - https://doi.org/10.11648/j.ijber.20231206.11 DO - 10.11648/j.ijber.20231206.11 T2 - International Journal of Business and Economics Research JF - International Journal of Business and Economics Research JO - International Journal of Business and Economics Research SP - 174 EP - 178 PB - Science Publishing Group SN - 2328-756X UR - https://doi.org/10.11648/j.ijber.20231206.11 AB - The sharp fluctuation of international grain prices is the biggest threat to international grain security, and in the context of grain financialization, the volatility of international grain prices is becoming stronger and stronger, in order to prevent the risk of grain price volatility, it is particularly necessary to clarify its volatility characteristics. This paper empirically tests the volatility characteristics of international grain prices based on the data from January 2010 to October 2021 by employing GARCH models and using the spot price of hard wheat No. 2 in Kansas City, USA as an alternative index of international grain prices. The results show that the volatility of international grain price has the characteristics of aggregation. The fluctuation of international grain price is autoregressive and its residual has ARCH effect, which indicates that it can be studied by GARCH models. Both of GARCH model and TARCH model successfully described the volatility characteristics of international grain prices. Compared with GARCH model, TARCH model simulates the form and degree of international grain price volatility better than GARCH model, furthermore, the estimation of TARCH model shows that good news can reduce the volatility of international grain prices by comparing the different effects of good news and bad news on the volatility of international food prices. VL - 12 IS - 6 ER -
School of Management and Economics, North China University of Water Resources and Electric Power, Zhengzhou, China
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