Publication Date
5-1988
Series Number
88-WP 29
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.
Recommended Citation
Aradhyula, Satheesh V. and Holt, Matthew T., "GARCH Time Series Models: An Application to Retail Livestock Prices" (1988). CARD Working Papers. 77.
https://lib.dr.iastate.edu/card_workingpapers/77
Included in
Agricultural and Resource Economics Commons, Agricultural Economics Commons, Economics Commons
