Forecasting agricultural price volatility of some export crops in Egypt using ARIMA/GARCH model
نویسندگان
چکیده
Purpose This study focuses on forecasting the price of most important export crops vegetables and fruits in Egypt from 2016 to 2030. Design/methodology/approach The applied generalized autoregressive conditional heteroskedasticity (GARCH) model integrated moving average (ARIMA) model. Findings results show that ARIMA (1,1,1), (2.1,2), (1,1,0), (1,1,2), (0,1,0) (1,1,1) are appropriate fitted models evaluate volatility green beans, tomatoes, onions, oranges, grapes strawberries, respectively. also revealed presence ARCH effect only case Potatoes, hence it is suggested GARCH approach be used instead. (1,1) found a better potatoes. Originality/value food developing countries essential, since significant share household budgets spent these economies, so agricultural prices substantial requirement for drawing up many economic plans fields production, consumption, marketing trade.
منابع مشابه
Forecasting Crude Oil Price Volatility
We use high-frequency intra-day realized volatility to evaluate the relative forecasting performance of several models for the volatility of crude oil daily spot returns. Our objective is to evaluate the predictive ability of time-invariant and Markov switching GARCH models over different horizons. Using Carasco, Hu and Ploberger (2014) test for regime switching in the mean and variance of the ...
متن کاملModeling Volatility of Price of Some Selected Agricultural Products in Ethiopia: ARIMA-GARCH Applications
متن کامل
Gold price volatility: A forecasting approach using the Artificial Neural Network-GARCH model
One of the most used methods to forecast price volatility is the generalized autoregressive conditional heteroskedasticity (GARCH) model. Nonetheless, the errors in prediction using this approach are often quite high. Hence, continued research is conducted to improve forecasting models employing a variety of techniques. In this paper, we extend the field of expert systems, forecasting, and mode...
متن کاملcost benefits of rehabilitation after acute coronary syndrome in iran; using an epidemiological model
چکیده ندارد.
Gold Price Forecasting Using ARIMA Model
This study gives an inside view of the application of ARIMA time series model to forecast the future Gold price in Indian browser based on past data from November 2003 to January 2014 to mitigate the risk in purchases of gold. Hence, to give guideline for the investor when to buy or sell the yellow metal. This financial instrument has gained a lot of momentum in recent past as Indian economy is...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Review of Economic and Political Science
سال: 2023
ISSN: ['2356-9980']
DOI: https://doi.org/10.1108/reps-06-2022-0035