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- W2183965285 abstract "The high volatility of food prices over the past decade has made price forecasting increasingly important to policy makers and market participants alike. Food price forecasts are undertaken on a regular basis by various government agencies, and there is appreciable evidence that these forecasts have implications for government food policies. It is noted that most existing studies on food price forecasts are based on periodic averages or close-to- close price data. On the other hand, considerable literature has accumulated over the past few years regarding the use of range-based forecasting methods. One such method is based on the observation that movements in the daily high and low prices are tied up in the long run by a condition closely approximated by the daily price range. This paper applies range-based method to forecasting the daily high and low prices of corn and soybeans futures. It is found that this approach offers significant advantages over the traditional ARIMA and random walk methods in terms of out-of- sample forecast accuracy. Another attraction of this method is that it is very easy to implement. While there are many avenues in which the high and low price forecasts can be put to use, as one application this study develops a" @default.
- W2183965285 created "2016-06-24" @default.
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- W2183965285 date "2013-01-01" @default.
- W2183965285 modified "2023-09-27" @default.
- W2183965285 title "RANGE-BASED PRICE FORECASTS AND A TRADING STRATEGY FOR CORN AND SOYBEANS FUTURES" @default.
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