Template-type: ReDIF-Paper 1.0
Author-Name: Chia-Lin Chang
Author-Email: changchialin@nchu.edu.tw
Author-Person: pch286 
Author-Workplace-Name: Department of Applied Economics, Department of Finance, National Chung Hsing University
	Taichung, Taiwan
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of
	Economic Research, Kyoto University. 
Author-Name: Roengchai Tansuchat
Author-Workplace-Name: Faculty of Economics Maejo University Chiang Mai, Thailand
Title: Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
Abstract: This paper estimates a long memory volatility model for 16 agricultural commodity futures
	returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean
	oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton, orange juice, Kansas City
	wheat, rubber, and palm oil. The class of fractional GARCH models, namely the FIGARCH
	model of Baillie et al. (1996), FIEGARCH model of Bollerslev and Mikkelsen (1996), and
	FIAPARCH model of Tse (1998), are modelled and compared with the GARCH model of
	Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of Ding et al.
	(1993). The estimated d parameters, indicating long-term dependence, suggest that fractional
	integration is found in most of agricultural commodity futures returns series. In addition, the
	FIGARCH (1,d,1) and FIEGARCH(1,d,1) models are found to outperform their
	GARCH(1,1) and EGARCH(1,1) counterparts.
Classification-JEL: Q14, Q11, C22, C51.
Keywords: Long memory, agricultural commodity futures, fractional integration, asymmetric, conditional volatility.
Length: 34 pages 
Creation-Date: 2012-01 
Revision-Date: 2012-05 
Number: 2012-10 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1210.txt
File-URL: https://eprints.ucm.es/id/eprint/15093/1/1210.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1210