Arbeitspapier
A functional approach to test trending volatility
In this paper we extend the traditional GARCH(1,1) model by including a functional trend term in the conditional volatility of a time series. We derive the main properties of the model and apply it to all agricultural commodities in the Mexican CPI basket, as well as to the international prices of maize, wheat, pork, poultry and beef products for three different time periods that implied changes in price regulations and behavior. The proposed model seems to adequately fit the volatility process and, according to homoscedasticity tests, outperforms the ARCH(1) and GARCH(1,1) models, some of the most popular approaches used in the literature to analyze price volatility. Keywords: Agricultural prices, volatility, GARCH models.
- Language
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Englisch
- Bibliographic citation
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Series: Working Papers ; No. 2016-04
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Construction and Estimation
Price Level; Inflation; Deflation
Agricultural Policy; Food Policy
- Subject
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Agricultural prices
volatility
GARCH models
- Event
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Geistige Schöpfung
- (who)
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Guerrero Escobar, Santiago
Hernández del Valle, Gerardo
Juárez Torres, Miriam
- Event
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Veröffentlichung
- (who)
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Banco de México
- (where)
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Ciudad de México
- (when)
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2016
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Guerrero Escobar, Santiago
- Hernández del Valle, Gerardo
- Juárez Torres, Miriam
- Banco de México
Time of origin
- 2016
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