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Dynamic Stochastic Simulation of Daily Cash and Futures Cotton Prices

Published online by Cambridge University Press:  05 September 2016

DeeVon Bailey ,
B. Wade Brorsen  and
James W. Richardson
DeeVon Bailey
Affiliation:
Department of Agricultural Economics, Utah State University
B. Wade Brorsen
Affiliation:
Department of Agricultural Economics, Purdue University
James W. Richardson
Affiliation:
Department of Agricultural Economics, Texas A & M University
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Abstract

A dynamic model of daily cash and futures prices for cotton was developed using time series analysis. The time series model was included in a recursive Monte Carlo simulation model. Validation of the model was performed with a stochastic, dynamic simulation of the estimated model over the observation period 1975-1982 and with a static, deterministic out-of-sample forecast from December 9, 1981 through March 9, 1982. The model was then used to incorporate futures trading strategies into a policy simulation model.

Keywords

cottonforecastingfuturespolicy simulation modeltime series
Type
Articles
Information
Journal of Agricultural and Applied Economics , Volume 16 , Issue 2 , December 1984 , pp. 109 - 116
Copyright
Copyright © Southern Agricultural Economics Association 1984

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