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Modeling Agricultural Commodity Price Volatility using GARCH Model with Structural Break

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Title Modeling Agricultural Commodity Price Volatility using GARCH Model with Structural Break
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Creator Achal Lama
Ranjit K. Paul
Girish Kumar Jha
 
Subject Volatility
GARCH
Structural Break
 
Description Not Available
A time series data has the usual assumption of constant mean and variance over time
i.e., stationary. In real situation this assumption seems to be violated often. Mostly, the
series dealing with financial aspects such as prices of various commodities hardly holds
the assumption of constant variance. Moreover, few series shows an interesting
behaviour of stationarity for some time, then suddenly the variability of the error term
changes, it stays constant again for some time at this new value, until another change
occurs (Ang and Bekaert, 2002). If in the analysis of a series, this factor is not accounted
for, then we may land up having poor results (Clements and Hendry, 1998). The change
in variance of the series at certain time epochs must be identified whether be a single or
multiple. The very first work in this direction was started by Hsu et al. (1974), who used
this method as an alternative to the Pareto distribution to model stock returns.
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Date 2018-11-15T12:32:33Z
2018-11-15T12:32:33Z
2015-01-01
 
Type Book chapter
 
Identifier Not Available
Not Available
http://krishi.icar.gov.in/jspui/handle/123456789/11565
 
Language English
 
Relation Not Available;
 
Publisher Not Available