Analysis of US Agriculture Market with a New Fama-French Three-Factor Model

摘要

In this article, we propose a new Index for Agriculture Output (AOI) in US. Sample period is from 1960 to 2004. Data is analyzed by a new model, which includes 3 factors in Fama and French (1993), the EGARCH-type volatilities in Nelson(1991) and non-Normal errors in Zhu and Zinde-Walsh(2009). This new agriculture index (AOI) is compared with that constructed by Professor Kenneth R. French. LR, KS and AIC are used for testing parameter restrictions, residual check and model comparison, respectively. MLE is used to estimate parameters via Matlab. Empirical results show the Fama-French 3 factors are still alive! The new model can capture the skewness, fat-tailness and the asymmetric kurtosis in returns, which has better in-sample fit.