Nonlinear stochastic modelling dynamic of the agricultural products exchange rates

Abstract

The aim of this paper is to research some of the most important financial-stochastic models which enable the description of the dynamics of agricultural exchange rates. This dynamics is usually characterized by the properties of nonlinearity, hence the so-called conditional heteroskedastic models are used as the basic models for precise description of its behavior. The basic stochastic properties of these models, as well as the procedures to estimate their parameters, are also studied here. Finally, the conditional heteroskedastic models are applied in fitting of the empirical data: the nominal average cereals exchange rate indexes between the U.S. and the other countries.

Keywords

• time series
• stochastic modeling
• agricultural exchange rates