Modeling regime‐dependent agricultural commodity price volatilities
提出一种混合正态GARCH模型，将农产品价格波动分解为不同市场体制，应用于十种农产品周度现货价格，发现两体制模型优于传统模型，并检测到猪肉价格在预期下跌体制中存在逆杠杆效应。
Abstract In stark contrast to financial markets, relatively little attention has been given to modeling agricultural commodity price volatility. In recent years, numerous methodologies with various strengths have been proposed for modeling price volatility in financial markets. We propose using a mixture of normals with unique GARCH processes in each component for modeling agricultural commodity prices. While a normal mixture model is quite flexible and allows for time varying skewness and kurtosis, its biggest strength is that each component can be viewed as a different market regime and thus estimated parameters are more readily interpreted. We apply the proposed model to ten different agricultural commodity weekly cash prices. Both in‐sample fit and out‐of‐sample forecasting tests confirm that the two‐state NM‐GARCH approach performs better than the traditional normal GARCH model. A significant and state‐dependent inverse leverage effect is detected only for pork in the regime where the price is expected to drop, indicating the volatility in this regime tends to increase more following a realized price rise than a realized price drop.