期刊名称：American Journal of Economics and Business Administration
印刷版ISSN：1945-5488
电子版ISSN：1945-5496
出版年度：2014
卷号：6
期号：4
页码：138-142
DOI：10.3844/ajebasp.2014.138.142
出版社：Science Publications
摘要：Agricultural commodities prices have increased and become significantly more volatile during the past few years periods. The high agricultural commodity prices in recent years have raised the question of whether or not volatility is increasing and leading to more frequent extreme price swings. It is very important to quantify price variability of agricultural products. This paper measures the volatility of food commodity prices using multivariate GARCH. Lagged conditional variance and lagged square distribute have an important on the conditional variance. Moreover, the coefficient of the lagged squared effect was positive and statistically significant for feed crop market. We conclude that strong GARCH effects were apparent for agricultural market.
