Modeling of Cereals and Pulse Seed Prices: Using GARCH Family Models.

      Аннотация: The price volatility of agricultural crop products has increased in the last decade. The aim of this work is to identify and analyze the determinant factors of average monthly price volatility of cereals (wheat and barley) and pulses (bean and pea) in Amhara National Regional State over the period of December 2001 to June 2012 GC using GARCH family models. Among such models entertained in this study, ARMA(1,0)-EGARCH(3,3) with GED for wheat, ARMA(4,4)-EGARCH(2,3) with GED for bean and ARMA(1,0)-EGARCH(1,2) with student-t for pea were chosen to be the best fit models. The monthly price return series of barley exhibited no ARCH effects, and thus, was not modeled using (G)ARCH family models.

Ключевые слова: GARCH family Models, ARCH, ARMA, Price Volatility, crop products