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Modelling Ontario Agricultural Commodity Price Volatility with Mixtures of GARCH Processes

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Title: Modelling Ontario Agricultural Commodity Price Volatility with Mixtures of GARCH Processes
Author: Wang, Jinrui
Department: Department of Food, Agricultural and Resource Economics
Program: Food, Agriculture and Resource Economics
Advisor: Ker, Alan. P.
Abstract: Agricultural commodity price volatility is a critical global issue that may affect market participants quite differently. Previous work has studied factors that may affect price changes, such as supply and demand factors, climate change, role of speculation in futures and option trading markets, etc.. Modeling price volatility helps to understand causes, patterns and impacts of price changes, making it possible to mitigate the aforementioned risks and negative effects. To demonstrate the price volatility for future pricing forecasts used in the business risk management program, this thesis estimates price models based on mixture distributions. The price is assumed to follow a normal mixture distribution Generalized Autoregressive Conditional Heteroscedasticity (GARCH) (1,1) with separate GARCH (1,1) processes in each mixture.
URI: http://hdl.handle.net/10214/8434
Date: 2014-08


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