Estimating the volatility of commodity prices indices for agricultural raw materials using the GARCH model Krasnovskiy Evgeny1,*, Nemtchinova Elena2, Mityakova Olga3, Garnik Sergey4, Gasanbekov Sergey5, Ten Anatoly6, Mardas Dmitry7 1Bauman Moscow State Technical University, Moscow, Russia 2Russian State University of Tourism and Service, Cherkizovo, Moscow Region, Russia 3Nizhny Novgorod State Technical University Named After R.E. Alekseeva, Nizhny Novgorod, Russia 4State University of Management, Moscow, Russia 5Moscow Polytechnic University, Moscow, Russia 6All-Russian Institute of Agrarian Problems and Informatics named after A.A. Nikonov – Branch of the Federal Research Center of Agrarian Economy and Social Development of Rural Areas -All-Russian Research Institute of Agricultural Economics Under Ministry of Science and Higher Education of Russian Federation, Moscow, Russia 7Emperor Alexander I St. Petersburg State Transport University, St. Petersburg, Russia *Corresponding author's email: evg.e.krasnovskiy@gmail.com
Online published on 3 February, 2023. Abstract The purpose of the article was to empirically assess the impact of the volatility of world price indices for agricultural raw materials on economic processes in industrialized countries (the United States of America and the countries of the European Union). The results indicated a favourable dependence of the trend of American GDP on the increase in world raw materials prices. A similar result was obtained for industrial production indicators in both countries under investigation. During the assessment of agricultural raw materials on the world commodity market, it was revealed that the prices for sugar and rice were the most volatile. However, it should be noted that the volatility of world wheat prices recently increased. Top Keywords Agricultural raw materials, EU, Price index, Volatility, World market prices. Top |