Research Article | | Peer-Reviewed

Study on the Characteristics of International Grain Price Fluctuation with GARCH Models

Received: 17 October 2023     Accepted: 2 November 2023     Published: 11 November 2023
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Abstract

The sharp fluctuation of international grain prices is the biggest threat to international grain security, and in the context of grain financialization, the volatility of international grain prices is becoming stronger and stronger, in order to prevent the risk of grain price volatility, it is particularly necessary to clarify its volatility characteristics. This paper empirically tests the volatility characteristics of international grain prices based on the data from January 2010 to October 2021 by employing GARCH models and using the spot price of hard wheat No. 2 in Kansas City, USA as an alternative index of international grain prices. The results show that the volatility of international grain price has the characteristics of aggregation. The fluctuation of international grain price is autoregressive and its residual has ARCH effect, which indicates that it can be studied by GARCH models. Both of GARCH model and TARCH model successfully described the volatility characteristics of international grain prices. Compared with GARCH model, TARCH model simulates the form and degree of international grain price volatility better than GARCH model, furthermore, the estimation of TARCH model shows that good news can reduce the volatility of international grain prices by comparing the different effects of good news and bad news on the volatility of international food prices.

Published in International Journal of Business and Economics Research (Volume 12, Issue 6)
DOI 10.11648/j.ijber.20231206.11
Page(s) 174-178
Creative Commons

This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.

Copyright

Copyright © The Author(s), 2023. Published by Science Publishing Group

Keywords

International Grain Price, Volatility, ARCH Effect, GARCH Model, TARCH Model

References
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[3] Md. Sabiruzza-man, et al.. Modeling and Forecasting Trading Volume Index: GARCH versus TGARCH Approach [J]. The Quarterly Review of Economics and Finance, 2010, (2): 141-145.
[4] Liu, Huang-Chun, Huang Jui-Cheng. Forecasting S&P-100 Stock Index Volatility: The Role of Volatility Asymmetry and Distributional Assumption in GARCH Models [J]. Expert Systems with Applications, 2010, (7): 4928-4934.
[5] Yue, Chaolong. An empirical study on the GARCH model of Shanghai stock market returns [J]. Journal of Quantitative and Technical Economics, 2002, (4): 56-59.
[6] Chen, Qianli, Zhou Shaofu. Research on volatility of Shanghai Stock Exchange Index returns [J]. Journal of Quantitative and Technical Economics, 2002, (6): 122-125.
[7] Liu, Jinquan, Cui Chang. Empirical analysis on the return and volatility of Shanghai and Shenzhen Stock markets [J]. Economics (Quarterly Journal), 2002, (1): 885-898.
[8] Liu, Xiao, Li Yimin. Application of GARCH Model in Stock market: A study on the volatility of Shenzhen Component Index [J]. Journal of Technical Economics and Management, 2005, (5): 34-38.
[9] Gu, Fengjuan, Cen Zhongdi. Research on Volatility of Shanghai and Shenzhen Stock Markets based on GARCH model and SV model [J]. Mathematical Practice and Understanding, 2011, (1): 4-22.
[10] Zhang, Jinlin, He Genqing. Time-varying linkage and volatility spillover of GEM and Main Board market in China [J]. Journal of Zhongnan University of Economics and Law, 2012, (2): 100-106.
[11] Yang, Chenhui, Liu Xinmei. The impact of macroeconomic information release on the volatility of CSI 300 Index [J]. Journal of Shanxi University of Finance and Economics, 2012, (3): 38-44.
[12] Li, Yushuang, Zhao Ting. The impact of international grain Price on China's grain price: Asymmetry and threshold effect [J]. Journal of Dongbei University of Finance and Economics, 2018, (4): 35-41.
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[14] Li, Yushuang, Liu Yang. Impact of international grain prices on domestic grain prices: An analysis from the perspective of uncertainty [J]. Journal of Jiaxing University, 2021, (1): 115-124.
[15] Zhang, Jianghua. Research on the influence of international grain price fluctuation on Chinese grain market from the perspective of globalization: Based on the analysis of the transmission impact on the international market price fluctuation of soybean and corn [J]. Journal of price theory and practice, 2021, (3): 58-61.
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  • APA Style

    Songhua, L., Jiayi, D., Yanxia, X. (2023). Study on the Characteristics of International Grain Price Fluctuation with GARCH Models. International Journal of Business and Economics Research, 12(6), 174-178. https://doi.org/10.11648/j.ijber.20231206.11

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    ACS Style

    Songhua, L.; Jiayi, D.; Yanxia, X. Study on the Characteristics of International Grain Price Fluctuation with GARCH Models. Int. J. Bus. Econ. Res. 2023, 12(6), 174-178. doi: 10.11648/j.ijber.20231206.11

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    AMA Style

    Songhua L, Jiayi D, Yanxia X. Study on the Characteristics of International Grain Price Fluctuation with GARCH Models. Int J Bus Econ Res. 2023;12(6):174-178. doi: 10.11648/j.ijber.20231206.11

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  • @article{10.11648/j.ijber.20231206.11,
      author = {Li Songhua and Ding Jiayi and Xu Yanxia},
      title = {Study on the Characteristics of International Grain Price Fluctuation with GARCH Models},
      journal = {International Journal of Business and Economics Research},
      volume = {12},
      number = {6},
      pages = {174-178},
      doi = {10.11648/j.ijber.20231206.11},
      url = {https://doi.org/10.11648/j.ijber.20231206.11},
      eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijber.20231206.11},
      abstract = {The sharp fluctuation of international grain prices is the biggest threat to international grain security, and in the context of grain financialization, the volatility of international grain prices is becoming stronger and stronger, in order to prevent the risk of grain price volatility, it is particularly necessary to clarify its volatility characteristics. This paper empirically tests the volatility characteristics of international grain prices based on the data from January 2010 to October 2021 by employing GARCH models and using the spot price of hard wheat No. 2 in Kansas City, USA as an alternative index of international grain prices. The results show that the volatility of international grain price has the characteristics of aggregation. The fluctuation of international grain price is autoregressive and its residual has ARCH effect, which indicates that it can be studied by GARCH models. Both of GARCH model and TARCH model successfully described the volatility characteristics of international grain prices. Compared with GARCH model, TARCH model simulates the form and degree of international grain price volatility better than GARCH model, furthermore, the estimation of TARCH model shows that good news can reduce the volatility of international grain prices by comparing the different effects of good news and bad news on the volatility of international food prices.
    },
     year = {2023}
    }
    

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  • TY  - JOUR
    T1  - Study on the Characteristics of International Grain Price Fluctuation with GARCH Models
    AU  - Li Songhua
    AU  - Ding Jiayi
    AU  - Xu Yanxia
    Y1  - 2023/11/11
    PY  - 2023
    N1  - https://doi.org/10.11648/j.ijber.20231206.11
    DO  - 10.11648/j.ijber.20231206.11
    T2  - International Journal of Business and Economics Research
    JF  - International Journal of Business and Economics Research
    JO  - International Journal of Business and Economics Research
    SP  - 174
    EP  - 178
    PB  - Science Publishing Group
    SN  - 2328-756X
    UR  - https://doi.org/10.11648/j.ijber.20231206.11
    AB  - The sharp fluctuation of international grain prices is the biggest threat to international grain security, and in the context of grain financialization, the volatility of international grain prices is becoming stronger and stronger, in order to prevent the risk of grain price volatility, it is particularly necessary to clarify its volatility characteristics. This paper empirically tests the volatility characteristics of international grain prices based on the data from January 2010 to October 2021 by employing GARCH models and using the spot price of hard wheat No. 2 in Kansas City, USA as an alternative index of international grain prices. The results show that the volatility of international grain price has the characteristics of aggregation. The fluctuation of international grain price is autoregressive and its residual has ARCH effect, which indicates that it can be studied by GARCH models. Both of GARCH model and TARCH model successfully described the volatility characteristics of international grain prices. Compared with GARCH model, TARCH model simulates the form and degree of international grain price volatility better than GARCH model, furthermore, the estimation of TARCH model shows that good news can reduce the volatility of international grain prices by comparing the different effects of good news and bad news on the volatility of international food prices.
    
    VL  - 12
    IS  - 6
    ER  - 

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Author Information
  • School of Management and Economics, North China University of Water Resources and Electric Power, Zhengzhou, China

  • School of Management and Economics, North China University of Water Resources and Electric Power, Zhengzhou, China

  • Zhengzhou Central Branch of People's Bank of China, Zhengzhou, China

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