Title: Research on Risk of Price Fluctuations of International Agricultural Products
Abstract: Based on GED distribution and some GARCH models,the mean and volatility models of the logarithmic rate of return of the price index of international agricultural product have been studied empirically. The risk characteristics of price index of international agricultural products are empirically studied by using the VaR,ES and posteriori test method. Empirical results show that: In the international agricultural market,as opposed to the normal distribution,extreme events are more likely to occur;Since 2005,the risk of price volatility has a clear increasing trend. The price fluctuations of international agricultural products should be paid close attention to and prediction is made to avoid too great influence of price fluctuations of international agricultural on our country.
Publication Year: 2010
Publication Date: 2010-01-01
Language: en
Type: article
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