GARCH Time Series Models: An Application to Retail Livestock Prices

Date
1988-05-01
Authors
Aradhyula, Satheesh
Holt, Matthew
Major Professor
Advisor
Committee Member
Journal Title
Journal ISSN
Volume Title
Publisher
Altmetrics
Authors
Research Projects
Organizational Units
Journal Issue
Series
Department
Center for Agricultural and Rural Development
Abstract

Traditional time series models assume a constant conditional variance. Realizing the implausibility of this assumption, Bollerslev proposed Generalized Autoregressive Conditional Heteroscedasticity (GARSH) processes, which are characterized by nonconstant conditional variances. In this paper, GARCH (1,1) processes were applied to model livestock prices. Results indicate that GARCH processes adequately describe retail meat price behavior.

Comments
Description
Keywords
Citation
DOI
Source
Collections