FORECASTING FED CATTLE, FEEDER CATTLE, AND CORN CASH PRICE VOLATILITY: THE ACCURACY OF TIME SERIES, IMPLIED VOLATILITY, AND COMPOSITE APPROACHES

Economists and others need estimates of future cash price volatility to use in risk management evaluation and education programs. This paper evaluates the performance of alternative volatility forecasts for fed cattle, feeder cattle, and corn cash price returns. Forecasts include time series (e.g. GARCH), implied volatility from options on futures contracts, and composite specifications. The overriding finding from this research, consistent with the existing volatility forecasting literature, is that no single method of volatility forecasting provides superior accuracy across alternative data sets and horizons. However, evidence is provided suggesting that risk managers and extension educators use composite methods when both time series implied volatilities are available.


Issue Date:
2001-12
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/15449
Published in:
Journal of Agricultural and Applied Economics, Volume 33, Number 3
Page range:
523-538
Total Pages:
16




 Record created 2017-04-01, last modified 2017-08-23

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