Nonlinear dynamics of daily cash prices

Seung Ryong Yang, B. Wade Brorsen

Research output: Contribution to journalArticlepeer-review

52 Citations (Scopus)


Daily cash price changes are not normally distributed. Their empirical distributions have fat tails and most are skewed. In addition, they are not independent. Among the diffusion-jump, extended generalized autoregressive conditional heteroskedasticity (GARCH), and deterministic chaos processes, a GARCH process with residuals following a student distribution is the most likely. Our GARCH model reduces leptokurtosis, removes nonlinear dependence, and provides a considerable improvement over the i.i.d. normal model. The GARCH process is not well calibrated because it cannot explain all the observed nonnormality, but it does yield asymptotically valid hypothesis tests.

Original languageEnglish
Pages (from-to)706-715
Number of pages10
JournalAmerican Journal of Agricultural Economics
Issue number3
Publication statusPublished - 1992 Aug
Externally publishedYes


  • Conditional heteroskedasticity
  • Deterministic chaos
  • Diffusion-jump
  • Leptokurtosis
  • Market anomalies
  • Skewness

ASJC Scopus subject areas

  • Agricultural and Biological Sciences (miscellaneous)
  • Economics and Econometrics


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