文章基本信息

标题：Forecasting Agricultural Commodity Prices with Asymmetric-Error GARCH Models
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作者：Ramirez, Octavio A. ; Fadiga, Mohamadou L.
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2003
页码：71-85
出版社：Food Distribution Research Society
摘要：The performance of a proposed asymmetric-error GARCH model is evaluated in comparison to the normal-error- and Student-t-GARCH models through three applications involving forecasts of U.S. soybean, sorghum, and wheat prices. The applications illustrate the relative advantages of the proposed model specification when the error term is asymmetrically distributed, and provide improved probabilistic forecasts for the prices of these commodities.
关键词：GARCH;nonnormality;skewness;time-series forecasting;U.S. commodity prices