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http://krishi.icar.gov.in/jspui/handle/123456789/39162
Title: | Price dynamics of major high valued seed spices in India: an econometric insight |
Other Titles: | Not Available |
Authors: | Achal Lama , K. N. Singh R. S. Shekhawat B.Gurung |
ICAR Data Use Licennce: | http://krishi.icar.gov.in/PDF/ICAR_Data_Use_Licence.pdf |
Author's Affiliated institute: | ICAR::Indian Agricultural Statistics Research Institute |
Published/ Complete Date: | 2020-07-01 |
Project Code: | Not Available |
Keywords: | CII, EGARCH, GARCH, policy implications, spices, volatility |
Publisher: | Crop and Weed Science Society (CWSS). |
Citation: | Not Available |
Series/Report no.: | Not Available; 16(1); |
Abstract/Description: | Modelling and forecasting of volatility has attracted the attention of researchers for decades now. Agricultural commodity prices are characteristically fluctuating. In this paper volatile price series of spices namely Black pepper, Cardamom and Cumin are modelled and forecasted using family of Generalised Autoregressive Conditional Heteroscedastic(GARCH) model. For Cumin series due to presence of kurtosis in its residual series we have fitted GARCH model using t distributed error term. For Cardamom and Black pepper series, owing to its asymmetric nature Exponential GARCH model fitted the best. The forecasting efficiency of these models was compared with Autoregressive Integrated Moving Average (ARIMA) model using root mean squared error (RMSE) and mean absolute percentage error (MAPE). Superior results were obtained for GARCH models over the basic ARIMA model. Further, to understand the price behaviour, Coppocks Instability Index (CII) and Growth Rates (GR) for all selected spices were calculated. The study concludes by stating number of policy implications which could be advocated based on the findings. |
Description: | Not Available |
ISSN: | 0974 6315 |
Type(s) of content: | Research Paper |
Sponsors: | Not Available |
Language: | English |
Name of Journal: | Journal of Crop and Weed |
NAAS Rating: | 5.46 |
Volume No.: | 16(1) |
Page Number: | 110-119 |
Name of the Division/Regional Station: | Not Available |
Source, DOI or any other URL: | https://doi.org/10.22271/09746315.2020.v16.i1.1280 |
URI: | http://krishi.icar.gov.in/jspui/handle/123456789/39162 |
Appears in Collections: | AEdu-IASRI-Publication |
Files in This Item:
File | Description | Size | Format | |
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16-1-15.pdf | 452.81 kB | Adobe PDF | View/Open |
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