Forecasting agricultural commodity prices with asymmetric-error GARCH models

摘要

The performance of a proposed asymmetric-error GAKCH model is evaluated in comparison to the normal-error-and Student-t-GAKCH models through three applications involving forecasts of U.S. soybean, sorghum, and wheat prices. The applications illustrate the relative advantages of the proposed model specification when the error term is asymmetrically distributed, and provide improved probabilistic forecasts for the prices of these commodities.