| Abstract: | Decision‐makers in the agricultural sector operate in a volatile and risky environment. The statistical assessment of agricultural commodity prices is necessary to deduce the stylised facts of agricultural markets and guide the action of market participants. This article examines the kurtosis values of 60 agricultural commodities and presents evidence that the distributions of their returns are fat‐tailed. We use power‐law distributions to model the tail returns and the possible time‐varying extreme event risks in commodity markets. Our results suggest that the usefulness of the value at risk and expected shortfall as risk management tools is questionable. |
