Revisiting uncertainty and price forecast indicators in corn and wheat markets | Zendy

Vergel Eleuterio Pedro | Zendy

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Revisiting uncertainty and price forecast indicators in corn and wheat markets

Author(s) -

Vergel Eleuterio Pedro

Publication year - 2015

Publication title -

journal of agricultural extension and rural development

Language(s) - English

Resource type - Journals

ISSN - 2141-2170

DOI - 10.5897/jaerd2014.0633

Subject(s) - volatility (finance) , spot contract , standard deviation , economics , commodity , econometrics , commodity market , value (mathematics) , financial economics , mathematics , statistics , futures contract , market economy , finance

The purpose of this paper is twofold: First, we look at the fundamentals of spot prices of corn and wheat and analyse several measures of dispersion, arguing that the use of the standard deviation of prices is more instructive for regulators and world food organisations than volatility, that is, standard deviation of returns. Second, we look at alternative predictors of corn and wheat spot prices and exhibit that the average value of the forward curve introduced by Borovkova and Geman (2006) performs better than individual forward prices to forecast spot prices at future dates

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