This paper estimates the long memory volatility model for 16 agricultural commodity futures
returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean
oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton, orange juice, Kansas City
wheat, rubber, and palm oil. The class of fractional GARCH models, namely the FIGARCH
model of Baillie et al. (1996), FIEGACH model of Bollerslev and Mikkelsen (1996), and
FIAPARCH model of Tse (1998), are modelled and compared with the GARCH model of
Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of Ding et al.
(1993). The estimated d parameters, indicating long-term dependence, suggest that fractional
integration is found in most of agricultural commodity futures returns series. In addition, the
FIGARCH (1,d,1) and FIEGARCH(1,d,1) models are found to outperform their
GARCH(1,1) and EGARCH(1,1) counterparts.
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