Estimating the Volatility of Commodity Prices Indices for Agricultural Raw Materials Using the GARCH Model
Price: ₹ 500
Author: Evgeny Krasnovskiy, Olga Mityakova, Sergey Garnik, Sergey Gasanbekov, Elena Nemtchinova, Anatoly Ten, and Dmitry Mardas
Author Address: Bauman Moscow State Technical University, Moscow, Russia, Russian State University of Tourism and Service, Cherkizovo, Moscow Region, Russia, Nizhny Novgorod State Technical University named after R.E. Alekseeva, Nizhny 3 Novgorod, Russia, State Universit
Keywords: Agricultural raw materials, EU, price index, volatility, world market prices.
JEL Codes: E30, F02, F47.
Abstract
The
purpose of the article was to empirically assess the impact of the volatility
of world price indices for agricultural raw materials on economic processes in
industrialized countries (the United States of America and the countries of the
European Union). The results indicated a favourable dependence of the trend of
American GDP on the increase in world raw materials prices. A similar result
was obtained for industrial production indicators in both countries under
investigation. During the assessment of agricultural raw materials on the world
commodity market, it was revealed that the prices for sugar and rice were the
most volatile. However, it should be noted that the volatility of world wheat
prices recently increased.
Description
Indian Journal of Economics and Development
Volume 18 No. 3, 2022, 742-747
DOI: https://doi.org/10.35716/IJED/22070
NAAS Score: 5.15 (2022)
Indexed in Clarivate Analytics (ESCI) of WoS
Indexed in Scopus (SJR: 0.18)
UGC Approved (UGC-Care List Group II)