AN ANALYSIS IMPACT OF HISTORICAL VOLATILITY ESTIMATION METHOD ON PREDICTED GRAIN PRICES IN THE BINOMIAL MODEL

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Monika Krawiec


Keywords : historical volatility, binomial tree, predicted grain prices
Abstract
Volatility is the basic parameter used to calculate value at risk, to optimize portfolio or to evaluate options. There are several methods to estimate the volatility. The most popular are following: standard deviation, EWMA and GARCH (p,q) concepts. Each of them may provide different results. The aim of the paper is to assess the impact of volatility on predicted grain prices in the binomial model with respect to the method of volatility estimation. The research focuses on grain prices in Poland and covers the period from 27.12.2004 to 25.04.2010.

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How to Cite
Krawiec, M. (2011). AN ANALYSIS IMPACT OF HISTORICAL VOLATILITY ESTIMATION METHOD ON PREDICTED GRAIN PRICES IN THE BINOMIAL MODEL. Annals of Agricultural Economics and Rural Development, 98(1), 40–46. https://doi.org/10.22630/RNR.2011.98.1.4
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