Hefnawy, F., Shaker, V. (2021). Measuring the Wheat Price Volatility in Global Commodity Market: GARCH Family Models. Journal of Agricultural Economics and Social Sciences, 12(12), 1205-1208. doi: 10.21608/jaess.2022.118255.1022
Fatma Hefnawy; V. Shaker. "Measuring the Wheat Price Volatility in Global Commodity Market: GARCH Family Models". Journal of Agricultural Economics and Social Sciences, 12, 12, 2021, 1205-1208. doi: 10.21608/jaess.2022.118255.1022
Hefnawy, F., Shaker, V. (2021). 'Measuring the Wheat Price Volatility in Global Commodity Market: GARCH Family Models', Journal of Agricultural Economics and Social Sciences, 12(12), pp. 1205-1208. doi: 10.21608/jaess.2022.118255.1022
Hefnawy, F., Shaker, V. Measuring the Wheat Price Volatility in Global Commodity Market: GARCH Family Models. Journal of Agricultural Economics and Social Sciences, 2021; 12(12): 1205-1208. doi: 10.21608/jaess.2022.118255.1022
Measuring the Wheat Price Volatility in Global Commodity Market: GARCH Family Models
Food price volatility is considered a global problem affecting many poor and rich countries, severely impacting developing countries. So, understanding the volatility pattern is essential for policymakers to take global and local actions to reduce food price spikes, manage price trends, and protect vulnerable households. This study aims to accurately measure wheat price volatility in the global market to determine its pattern and help policymakers make more informed decisions. A monthly series of 719 observations spanning from January 1960 to December 2019 was used to model the global wheat price volatility. Symmetric and asymmetric GARCH models were used to measure the price volatility. Based on model selection criteria, Asymmetric EGARCH (1,1) model proves to be fit. The results show that positive shocks have a more significant effect on volatility than negative shocks, which implies that policymakers react differently when making decisions. Moreover, these findings suggest that long–term contracts and sustainable investments in improving the wheat value chain will help the domestic market hedge against the risks of global price volatility.
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