Ethiopian Domestic Price Volatility Using Time Series Models
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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...
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.
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