نویسندگان
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [English]
In this research the relationship between wheat prices and its volatility in a dynamic model for Iran has been studied using daily data during 2009-2011. Therefore, shocks on wheat prices and its effects on prices using GARCH, ARIMA and SVM models were studied. According to the results, price volatility recognized as a reason of wheat price changes. Comparative results show that domestic wheat price volatility is greater than the global price fluctuations. Also, the wheat price volatility in the last period is a factor volatility of the price of wheat at the present. Therefore the appropriate policies to have a dynamic market for agricultural commodities and using derivative instruments like future and option contract can control fluctuations.
JEL Classification: Q11, Q13, D81
Keywords:
Wheat, Wheat Price Volatility, GARCH, SVM, ARIMA
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