Abstract:

Purpose - Financial market gambling plays an important role as an indicator of both economic performance and financial stability. Alternative GARCH-type time series models have been one of the most preferred approaches in achieving this goal. In the modeling of structural changes in financial time series, the use of the MS-GARCH approach has also emerged. This study aims to contribute to empirical literature by modeling the playfulness of the four main cereal goods (maize, yellow, eggs and soya beans) processed in the long-term cereal goods markets with asymmetric MS-GARCH structures. Method - In accordance with the purpose of the study, an asymmetrical MS-GARCH model has been performed for four grain commodities. The data sets used in the research were obtained daily from the investment.com database and covered the period 2014-2022. In the analysis of the study, the RStudio 2022.07.2 program was used. Results - According to the results obtained from the asymmetric MS-GARCH models conducted in the study, the presence of persistent regime structures in grain, peanut butter, eggs and soya beans goods has been determined. The return of the goods was achieved as a result when it was in the low play period again in the low play period or when it was in the high play period again in the high play period. It has been found that the negative shocks occurring while all the goods captured were in a low playback regime had more impact on the playback than the positive shocks. It has been revealed that there is an influence on the revenue of cereals. 25 percent of the grain revenue, 21 percent of the Egyptian revenue, 1.2 percent of the soya beans revenue and 12 percent of the yellow revenue remained in the high play period. The use of MS-GARCH-type models, which allow the price gameplay to be analyzed according to different system structures, will reduce the risks that may arise by making more accurate forecasts in a high uncertainty environment.

Keywords: