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Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
http://hdl.handle.net/2261/32452
http://hdl.handle.net/2261/32452a7e42190-3a64-42c9-b111-d47e15797132
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | Modelling Long Memory Volatility in Agricultural Commodity Futures Returns | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Long memory | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | agricultural commodity futures | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | fractional integration | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | asymmetric | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | conditional volatility | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | JEL Classifications: Q14, Q11, C22, C51. | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Tansuchat, Roengchai
× Tansuchat, Roengchai× Chang, Chia-Lin× McAleer, Michael |
|||||
著者所属 | ||||||
著者所属 | Faculty of Economics Maejo University | |||||
著者所属 | ||||||
著者所属 | Department of Applied Economics National Chung Hsing University | |||||
著者所属 | ||||||
著者所属 | Econometrics Institute Erasmus School of Economics Erasmus University Rotterdam | |||||
著者所属 | ||||||
著者所属 | Tinbergen Institute | |||||
著者所属 | ||||||
著者所属 | Center for International Research on the Japanese Economy (CIRJE) Faculty of Economics University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | 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. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-680, 発行日 2009-10 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf680ab.html |