Center for Agricultural and Rural Development
Center for Agricultural and Rural Development

GARCH Time Series Models: An Application to Retail Livestock Prices

May 1988 [88-WP 29]
Authors:
  • Satheesh V. Aradhyula
  • Matthew T. Holt

Suggested citation

Aradhyula, S.V. and M.T. Holt. 1988. “GARCH Time Series Models: An Application to Retail Livestock Prices.” Working paper 88-WP 29. Center for Agricultural and Rural Development, Iowa State University.

Summary

Traditional time series models assume a constant conditional variance. Realizing the implausibility of this assumption, Bollerslev proposed Generalized Autoregressive Conditional Heteroscedasticity (GARSH) processes, which are characterized by nonconstant conditional variances. In this paper, GARCH (1,1) processes were applied to model livestock prices. Results indicate that GARCH processes adequately describe retail meat price behavior.