Guerrero Escobar, Santiago; Hernández del Valle, Gerardo; … - 2016
In this paper we extend the traditional GARCH(1,1) model by including a functional trend term in the conditional … volatility process and, according to homoscedasticity tests, outperforms the ARCH(1) and GARCH(1,1) models, some of the most … popular approaches used in the literature to analyze price volatility. Keywords: Agricultural prices, volatility, GARCH models. …