Short-term price density forecasts in the lean HOG futures market

Andres Trujillo-Barrera, Philip Garcia, Mindy L. Mallory

Research output: Contribution to journalArticlepeer-review


We estimate and evaluate ex-ante density forecasts of lean hog futures prices using two approaches: forward-looking techniques using options market data and time series models. Our findings indicate that risk-neutral and risk-adjusted forward-looking market techniques are better calibrated and have superior predictive accuracy than time series GARCH models based on historical data. Improvements to goodness of fit and accuracy of the forecasts obtained by the calibration from risk-neutral to real-world densities imply that short-term risk premiums may be present in the lean hog futures markets, and they most likely appear in periods of market turmoil.

Original languageEnglish (US)
Pages (from-to)121-142
Number of pages22
JournalEuropean Review of Agricultural Economics
Issue number1
StatePublished - Feb 2018


  • Commodities
  • Density forecast
  • Price analysis

ASJC Scopus subject areas

  • Agricultural and Biological Sciences (miscellaneous)
  • Economics and Econometrics


Dive into the research topics of 'Short-term price density forecasts in the lean HOG futures market'. Together they form a unique fingerprint.

Cite this