Economics, Econometrics and Finance
2 years ago

New study reveals varying risks in agricultural commodity investments

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AIP conference proceedings
Risk analysis on agricultural commodity portfolio using Value at Risk (VaR) and Expected Shortfall (ES) based on ARIMA-GARCH
Ulil Azmi, Galuh Oktavia Siswono, Wawan Hafid Syaifudin, Wisnowan Hendy Saputra, Putu Maharani Anggun Ningtyas

Paper Summary

The article analyzes the risk of investing in agricultural commodities like Wheat, Cocoa, and Cotton using Value at Risk (VaR) and Expected Shortfall (ES). The researchers used a time series model approach, specifically ARIMA for predicting price movements and GARCH for volatility. They found that Cotton has the lowest risk based on VaR, while Cocoa has the highest. However, based on ES, Cocoa has the lowest risk and Cotton has the highest.

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