Price Forecasting, Co-integration and Volatility Spillover of Pepper. An Application of Econometrics

      Аннотация: Price uncertainty of commodities has its effect on the profitability of the traders.Pepper is known for its price volatility and is among the highest in agricultural commodities. The period between April 1998 and 2003 had witnessed more price decreases on a monthly basis than price increases. The period between 2005 and 2014 experienced more price increase than decrease. The annual volatility of Pepper for the period from 2005-06 to 2013-14 varied between 15 % and 42 %. This high level of volatility seen in the price movement of pepper is a matter of concern for the farmers and traders. Though the futures market provides platform to mitigate the risk, it is essential for the parties of the trade to understand how prices are discovered in the futures market. Therefore any hedging trading strategies will not be effective unless the hedger relies on a well informed decision making process. It requires thorough conceptual knowledge in using appropriate models to predict the future price, volatility of the commodity and price discovery mechanism of the futures market. Hence the study focuses on “Price forecasting, Co-integration analysis and Volatility spill over of Pepper”.

Ключевые слова: Co-integration, price forecasting, ARCH. EGARCH