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Lookup NU author(s): Dr Benedict White,
Dr Philip Dawson
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Price risk is estimated for a representative UK arable farm using value-at-risk (VaR). To determine the distribution of commodity returns, two multivariate generalised autoregressive conditional heteroscedasticity (GARCH) models, with t-distributed and normally distributed errors, and a RiskMetrics™ model are estimated. Returns show excess kurtosis and that the GARCH model with t-distributed errors fits best. Estimates of VaR differ between models: both GARCH models perform well but the RiskMetrics™ model underestimates expected losses. UK arable farms face substantial price risk. © Blackwell Publishing Ltd. 2005.
Author(s): White B, Dawson PJ
Publication type: Article
Publication status: Published
Journal: Journal of Agricultural Economics
ISSN (print): 0021-857X
ISSN (electronic): 1477-9552
Publisher: Wiley-Blackwell Publishing Ltd.
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