Author(s) :

Gabriela Malik, PhD.

Volume/Issue :

Abstract :

The aim of this article is to present statistical properties of price distribution of agricultural products listed on the Commodities Exchange in Chicago, in particular corn, soy and wheat, as well as an analysis of behaviour of bordering extreme values of prices of futures contracts, moreover defining a generalized extreme value distribution together with evaluation of accuracy of model choice to empirical data. To be able to reach this aim descriptive statistics as well as normality of return rate of examined agricultural products were presented along with their graphic representations. Parameters of distribution of tails of random variables, describing values of given futures contracts, are estimated with the maximum likelihood method using the block method. On the other hand, evaluation of adjustment of generalized extreme value distribution function for the tails of empirical distribution is conducted on the basis of quantile plots of appropriate distributions.

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