Short-term price density forecasts in the lean HOG futures market

Andres Trujillo-Barrera*, Philip Garcia, Mindy L. Mallory

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

3 Citations (Scopus)

Abstract

We estimate and evaluate ex-ante density forecasts of lean hog futures prices using two approaches: forward-looking techniques using options market data and time series models. Our findings indicate that risk-neutral and risk-adjusted forward-looking market techniques are better calibrated and have superior predictive accuracy than time series GARCH models based on historical data. Improvements to goodness of fit and accuracy of the forecasts obtained by the calibration from risk-neutral to real-world densities imply that short-term risk premiums may be present in the lean hog futures markets, and they most likely appear in periods of market turmoil.
Original languageEnglish
Pages (from-to)121-142
JournalEuropean Review of Agricultural Economics
Volume45
Issue number1
DOIs
Publication statusPublished - 1 Feb 2018

Keywords

  • Commodities
  • Density forecast
  • Price analysis

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