The Application of Garch Family Models for Agricultural Crop Products in Amhara Region, Ethiopia
Journal Title: STAR Journal - Year 2014, Vol 3, Issue 4
Abstract
In the recent past, the price of general commodities has increased in Ethiopia as well as in the world. The main objective of this study is to identify and analyze the factors that affect the average monthly price volatility of pulses (bean and pea) in Amhara National Regional State over the period of December 2001 to June 2012 GC. The return series considered exhibited typical characteristics of financial time series such as volatility clustering, leptokurtic distributions and asymmetric effect and thus, can suitably modeled using GARCH family models. Among such models entertained in this study, 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. From the results, exchange rate and general and food inflation rates were found to be an increasing effect on price volatility of bean and pea. On the other hand, rainfall was found to have a stabilizing effect on the price volatility of these crops. Moreover, saving interest rate has a decreasing effect on the price volatility of bean. The results also revealed that price volatility has seasonal variation. The asymmetric terms were found to be significant in all GARCH models considered. Thus, price volatility tends to over-react in response to bad news as compared to good news. Furthermore, the significance of the EGARCH terms provides strong evidence of volatility spillover from one period to another.
Authors and Affiliations
Belayneh Debasu Kelkay| Department of Statistics, Arba Minch University, P.O. Box: 21, Arba Minch, Ethiopia, Emmanuel G/Yohannes| Ethiopian Civil Service University, P.O. Box: 5648, Addis Ababa, Ethiopia
Keywords
Related Articles
- EP ID EP9713
- DOI http://dx.doi.org/10.4314/star.v3i4.7
- Views 320
- Downloads 16
Use of Electrically Heated Metal Catalytic Converter in Cold Starting To Reduce Automotive Emissions
The environmental degradation all over the world has led the researchers to work towards the development of Low Emission Vehicle (LEV) and Ultra Low Emission Vehicle (ULEV). Automobile vehicles emit substantial quantit...
Assessing the Bacteriological Quality of Drinking Water from Sources to Household Water Samples of the Rural Communities of Dire Dawa Administrative Council, Eastern Ethiopia
In Ethiopia, access to improved water supply and sanitation was estimated at 38% and 12% respectively. Three- forth of the health problems of children in Ethiopia are communicable diseases due to polluted water and imp...
Evaluation of Different Strains of Eri Silkworms (Samia cynthia ricini B.)for their Adaptability and Silk Yield in Ethiopia
No Abstract
Factors Affecting Prenatal Care Utilization in East Wollega Zone, Oromia Regional State, Ethiopia
The objective of the study was to identify factors affecting utilization of prenatal care and skilled birth attendant in East Wollega zone. Prenatal care and skilled birth attendant are crucial factor which affects the...
Elemental Analysis and Biological Activities of Chrysophyllum roxburghii G. Don (Sapotaceae) Leaves
The present study was performed to estimate elementals and to determine bioactivities namely anticariogenic, antioxidant, pancreatic lipase inhibitory and cytotoxic activity of Chrysophyllum roxburghii leaves. Elemental...