Main content

A platform upgrade will be performed on the Atrium Institutional Repository from Monday, July 13 to Wenesday, July 15, 2020 (inclusive). During this time, users will not be able to submit new items to the Atrium. Users will still be able to browse, view, and download items that are already available in the Atrium. We apologize for any inconvenience this may cause.

Modelling Ontario Agricultural Commodity Price Volatility with Mixtures of GARCH Processes

Show simple item record

dc.contributor.advisor Ker, Alan. P. Wang, Jinrui 2014-09-08T14:18:41Z 2014-09-08T14:18:41Z 2014-08 2014-09-04 2014-09-08
dc.description.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. en_US
dc.language.iso en en_US
dc.subject Price Volatility en_US
dc.subject Risk Analyse en_US
dc.subject GARCH en_US
dc.subject Econometric en_US
dc.title Modelling Ontario Agricultural Commodity Price Volatility with Mixtures of GARCH Processes en_US
dc.type Thesis en_US Food, Agriculture and Resource Economics en_US Master of Science en_US Department of Food, Agricultural and Resource Economics en_US
dc.rights.license All items in the Atrium are protected by copyright with all rights reserved unless otherwise indicated.

Files in this item

Files Size Format View
Wang_Jinrui_201409_MSc.pdf 1.832Mb PDF View/Open

This item appears in the following Collection(s)

Show simple item record