Estimation of Parameters of Marginal Distributions of Return Rates of Selected Agricultural Products Listed on the Chicago Commodity Exchange
Publication Date : 03/12/2023
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Abstract :
The article aims to estimate and verify the correctness of the specification of tail distributions of return rates of agricultural products listed on the Chicago Commodity Exchange from 1987 to 2022. The selected products include corn, soybeans, and wheat. The analysis determined a model describing the examined series concerning mean and variance values, considering the relationships between the series. To describe the tail distributions, a GARCH model was utilized. In the subsequent stage, the quality of fit of the estimated model was assessed. During the conducted research, it was found that the model best describing the analysed series of prices for agricultural futures contracts is the AR (1)-GARCH (1,1) model with a conditional t-Student distribution. The conducted analysis is crucial for correctly determining the proper forms of estimated models. It is essential to emphasize that errors in the correctness of specifying tail distributions can consequently lead to incorrect parameter estimation in further studies conducted for agricultural products.
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