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http://krishi.icar.gov.in/jspui/handle/123456789/42450| Title: | An Empirical Investigation of ARIMA and GARCH models in Agricultural Price Forecasting |
| Other Titles: | Not Available |
| Authors: | S. Bhardwaj R. K. Paul D. R. Singh K. N. Singh |
| 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: | 2014-03-01 |
| Project Code: | Not Available |
| Keywords: | ARIMA model Forecasting GARCH model Gram Price Stationarity Unit root test |
| Publisher: | Not Available |
| Citation: | Not Available |
| Series/Report no.: | Not Available; |
| Abstract/Description: | The present study deals with time series models which are non-structural-mechanical in nature. The Box Jenkins Autoregressive integrated moving average (ARIMA) and Generalized autoregressive conditional heteroscedastic (GARCH) models are studied and applied for modeling and forecasting of spot prices of Gram at Delhi market. Augmented Dickey Fuller (ADF) test is used for testing the stationarity of the series. ARCH-LM test is used for testing the volatility. It is found that ARIMA model cannot capture the volatility present in the data set whereas GARCH model has successfully captured the volatility. Root Mean square error (RMSE), Mean absolute error (MAE) and Mean absolute prediction error (MAPE) were computed. The GARCH (1,1) was found to be a better model in forecasting spot price of Gram. The values for RMSE, MAE and MAPE obtained were smaller than those in ARIMA (0,1,1) model. The AIC and SIC values from GARCH model were smaller than that from ARIMA model. Therefore, it shows that GARCH is a better model than ARIMA for estimating daily price of Gram |
| Description: | Not Available |
| ISSN: | Not Available |
| Type(s) of content: | Research Paper |
| Sponsors: | Not Available |
| Language: | English |
| Name of Journal: | Economic Affairs |
| NAAS Rating: | 5.08 |
| Volume No.: | 59(3) |
| Page Number: | 415-428 |
| Name of the Division/Regional Station: | Not Available |
| Source, DOI or any other URL: | http://dx.doi.org/10.5958/0976-4666.2014.00009.6 |
| URI: | http://krishi.icar.gov.in/jspui/handle/123456789/42450 |
| Appears in Collections: | AEdu-IASRI-Publication |
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