Risk Modelling of Agricultural Products

3rd International Seminar On Sciences "Sciences On Precision And Sustainable Agriculture"

Nugrahani, E.H.^1

Department of Mathematics, Bogor Agricultural University, Bogor, Indonesia^1

关键词: Agricultural business;    Agricultural commodities;    Empirical data;    Equation models;    Price of agricultural products;    Risk modelling;    Risky business;    Volatility modeling;   

Others  :  https://iopscience.iop.org/article/10.1088/1755-1315/58/1/012055/pdf
DOI  :  10.1088/1755-1315/58/1/012055

来源: IOP

【 摘 要 】

In the real world market, agricultural commodity are imposed with fluctuating prices. This means that the price of agricultural products are relatively volatile, which means that agricultural business is a quite risky business for farmers. This paper presents some mathematical models to model such risks in the form of its volatility, based on certain assumptions. The proposed models are time varying volatility model, as well as time varying volatility with mean reversion and with seasonal mean equation models. Implementation on empirical data show that agricultural products are indeed risky.