Stopień agregacji przestrzennej a zmienność szeregów czasowych cen surowców rolnych
Space agregation and volatility of agricultural commodity time series prices

Summary/Abstract: Price risk on the spot market is directly connected with uncertainty about change of prices paid and received by market participants. It means that the risk level is a function of the volatility of the level and relation of those prices. To assess price risk a historical price volatility measures are used among the others. Thus is needed to take into account that the risk level is associated with the local conditions. This implies an analysis of the local prices volatility. Series of average country prices which very often constitute a reference for market agents not always reveal a local circumstances. Therefore spatial aggregation of data can lead to underestimation of the risk level. The aim of the paper was to estimate the effect of spatial aggregation of agricultural prices series on their volatility. It was reasonable also to investigate an existence of conditional volatility in the series for different aggregation levels. Weakly market prices of wheat for country, voivodeship and local market level were used as an empirical material.

• Details
• Contents