What Bayesian quantiles can tell about volatility transmission between the major agricultural futures?

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This paper investigates an idiosyncratic volatility spillover effect between the four agricultural futures - corn, wheat, soybean, and rise. In order to avoid biased measurements of the volatilities, we use the Markov switching generalized autoregressive conditional heteroskedasticity (MS-GARCH) model. The created volatilities are imbedded in the Bayesian quantile regression framework which can produce accurate quantile estimates. We report that soybean and wheat receive relatively high levels of volatility shocks from the other markets, and that excludes soybean and wheat as primary investment assets in a portfolio. On the other hand, rice receives the lowest amount of volatility shocks from all other agricultural futures. The reason could be the policy of rice price stability that is conducted by countries in the Asia and Pacific region. This result favours rice futures, from the four commodities, as the primary asset in a portfolio. All other futures are suitable to be an auxiliary asset in a portfolio with rice, because rice receives the weakest volatility shocks spillover effect from the other three markets. … full description

Bibliographic Details

Main Author

Dejan Živkov

Other Authors

Boris Kuzman
Jonel Subić

Document Type

Articles

Physical Description

8 ilustrací

Published in

Agricultural Economics. -- ISSN 0139-570X. -- Roč. 66, č. 5 (2020), s. 215-225

Subjects

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zemědělské produkty

WORLD MARKETS

FUTURES TRADING

MAIZE

WHEATS

SOYBEANS

RICE

TRADE POLICIES

MARKET REGULATIONS

INVESTMENT

ASSETS

ECONOMETRICS

STATISTICAL METHODS

Monte Carlo method

Regression analysis

světové trhy

ceny zemědělských produktů

termínovaný obchod

kukuřičné zrno

pšenice

sója

rýže

obchodní politika

regulace trhu

investice

aktiva

ekonometrie

statistické metody

metoda Monte Carlo

regresní analýza

Asie

volatilita cen > index volatility > akciové trhy > GARCH model > MS-GARCH model

more… less…

Item Description

3 grafy, 1 obrázek, 4 tabulky

Bibliography

Seznam literatury na s. 224-225 (28 záznamů)