Abstract
The present paper attempts an empirical investigation on price volatility linkages between two important agricultural commodities: corn and wheat, by using a multivariate GARCH-BEKK model. Evidence of bidirectional linkages were found between corn and wheat in terms of returns and volatility. Multivariate conditional Student’s-t distribution results show a unidirectional volatility transmission from corn to wheat. Diagnostic tests reveal that the Student’s-t distribution will better model the volatility of returns when compared to the Gaussian distribution. Overall, the results show that the conditional variances and covariances between agricultural commodity market returns exhibit significant changes over time.
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