Forecasting Livestock Feed Cost Risks Using Futures and Options

Gang Chen, Matthew C. Roberts and Brian Roe

No 19048, 2005 Conference, April 18-19, 2005, St. Louis, Missouri from NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: The costs of corn- and soybean-based feeds compose a substantial proportion of the variable costs faced by both mainstream and emergent confined livestock producers. This research develops a method to provide a joint distribution of prices of corn and soybean meal at a future time. Black's 1976 option model and stochastic volatility jump diffusion (SVJD) model are compared in volatility forecasting performance. In general, SVJD is superior to Black's model, though their performance is both commodity-specific and forecasting horizon specific.

Keywords: Livestock Production/Industries; Marketing (search for similar items in EconPapers)
Pages: 21
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:ags:ncrfiv:19048

DOI: 10.22004/ag.econ.19048

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