GARCH Time Series Models: An Application to Retail Livestock Prices

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Date
1988-05-01
Authors
Aradhyula, Satheesh
Holt, Matthew
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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.

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