Template-Type: ReDIF-Paper 1.0
Author-Name: Tansuchat, R.
Author-Name-Last: Tansuchat
Author-Name-First: Roengchai
Author-Person: pta326
Author-Name: Chang, C-L.
Author-Name-Last: Chang
Author-Name-First: Chia-Lin
Author-Person: pch286
Author-Name: McAleer, M.J.
Author-Name-Last: McAleer
Author-Name-First: Michael
Author-Person: pmc90
Title: Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
Abstract: This paper estimates the 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), FIEGACH 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.
Creation-Date: 2009-11-23
File-URL: https://repub.eur.nl/pub/17298/EI2009-35.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2009-35
Classification-JEL: C22, C51, Q11, Q14
Keywords: agricultural commodity futures, asymmetric, conditional volatility, fractional integration, long memory
Handle: RePEc:ems:eureir:17298