Journal of Food, Agriculture and Environment
Vol 9,
Issue 2,2011
Online ISSN: 1459-0263
Print ISSN: 1459-0255
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Nonlinearities in the price behaviour of agricultural products: The case of cotton
Author(s):
Eleni Zafeiriou 1*,
Nikolaos Sariannidis 2Recieved Date: 2010-09-13, Accepted Date: 2011-03-27
Abstract:Commodity futures risk premiums vary across commodities and over time depending on the level of physical inventories, as predicted by the Theory of Storage. The interaction of the factors related to the inventories and other financial sources result in a complex futures price behaviour especially in the case of agricultural products. This behaviour has been surveyed and described with non-linear testing and modelling, respectively, within the last decades. The same process has been used to describe the formation of commodity prices. In the present study a number of univariate tests confirm the existence of nonlinearity in the cotton futures price formation, while a Mackey GARCH model is used to describe the returns’ behaviour. This model selection is based upon the consideration of the mean process as dynamic chaotic. The model can be a useful in making a short term forecasts.
Keywords:GARCH,
nonlinearities, futures prices, cottonJournal: Journal of Food, Agriculture and Environment
Year: 2011
Volume: 9
Issue: 2
Category: Environment
Pages: 551-555
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