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Ethiopian Domestic Price Volatility Using Time Series Models.
В наличии
Местонахождение: Алматы | Состояние экземпляра: новый |
Бумажная
версия
версия
Автор: Goitom Weldegerima
ISBN: 9786139472673
Год издания: 2019
Формат книги: 60×90/16 (145×215 мм)
Количество страниц: 152
Издательство: LAP LAMBERT Academic Publishing
Цена: 37125 тг
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Аннотация: This study was aimed at modelling average monthly domestic price volatility of certain pulse and cereal crops and identifying its determinants over the study period of January 2002 to December 2011 GC in Ethiopia. ARIMA-GARCH Models were applied. The volatilities in the domestic prices of a pulse crop Soya Bean and a cereal crop Sorghum were found to vary over time from month to month, suggesting the use of the GARCH models. Thus, Families of time series models namely, ARCH with their extensions to generalized ARCH, GARCH and EGARCH models with ARIMA mean equations were fitted to the data. The best fitting model among each family of models was selected based on how well the model captures the variations in the data and the optimal lag specification accessed via SBIC. Moreover, the effects of the predictor variables on the price-return series of the items were determined.
Ключевые слова: Domestic Price Volatility, Time Series models, price-return series