RICE PRICE VOLATILITY IN EAST JAVA

Price Volatility in Ethanol Markets

Food price volatility

The high food prices experienced over recent years have led to the widespread view that food price volatility has increased. However, volatility has generally been lower over the two most recent decades than previously. Variability over the most recent period has been high but, with the important exception of rice, not out of line with historical experience. There is weak evidence that grains p...

Forecasting Crude Oil Price Volatility

We use high-frequency intra-day realized volatility to evaluate the relative forecasting performance of several models for the volatility of crude oil daily spot returns. Our objective is to evaluate the predictive ability of time-invariant and Markov switching GARCH models over different horizons. Using Carasco, Hu and Ploberger (2014) test for regime switching in the mean and variance of the ...

Learning-Induced Securities Price Volatility

This paper tests whether the high average returns on the S&P 500 index in recent history can be attributed to mistaken expectations (the ex-ante risk premium – taken to be constant – is systematically less than the ex-post measured risk premium), or, alternatively, whether can they be explained as the result of selection bias (the U.S. experience is exceptional). The tests reject these hypothes...

Exploring Metropolitan Housing Price Volatility

This paper uses MSA level data and a panel VAR model to analyze the dynamic determination and impact of the volatility of single-family home value appreciation. We find that the volatility can be magnified by an exogenous increase in the home appreciation rate, responds to changes in the population growth rate, and is serially correlated. Moreover, an exogenous increase in the volatility increa...