Measuring Price Risk on UK Arable Farms

Ben White, P.J. Dawson

    Research output: Contribution to journalArticlepeer-review

    11 Citations (Scopus)


    Price risk is estimated for a representative UK arable farm using value-at-risk (VaR). To determine the distribution of commodity returns, two multivariate generalised autoregressive conditional heteroscedasticity (GARCH) models, with t-distributed and normally distributed errors, and a RiskMetrics (TM) model are estimated. Returns show excess kurtosis and that the GARCH model with t-distributed errors fits best. Estimates of VaR differ between models: both GARCH models perform well but the RiskMetrics (TM) model underestimates expected losses. UK arable farms face substantial price risk.
    Original languageEnglish
    Pages (from-to)239-252
    JournalJournal of Agricultural Economics
    Issue number2
    Publication statusPublished - 2005


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