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http://krishi.icar.gov.in/jspui/handle/123456789/82091
Title: | Ensemble of Time Series and Machine Learning Model for Forecasting Volatility in Agricultural Prices |
Other Titles: | Not Available |
Authors: | Ranjit Kumar Paul Tanima Das Md. Yeasin |
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: | 2023-02-01 |
Project Code: | Not Available |
Keywords: | Forecasting support vector regression nonlinear time series model |
Publisher: | Not Available |
Citation: | Not Available |
Series/Report no.: | Not Available; |
Abstract/Description: | Forecasting price volatility of agricultural commodities has immense importance nowadays. The use of traditional parametric model in capturing volatility in price series has been found to be inefficient. In this context, machine learning (ML) technique like support vector regression (SVR) may be applied to improve accuracy of forecasting. In the present investigation, an algorithm based on combination of parametric nonlinear time series model, i.e., generalized autoregressive conditional heteroscedastic (GARCH) model and supervised ML, e.g., SVR is proposed. The method is applied for forecasting volatility of onion price in two major markets of India, namely Delhi and Kolkata. The outperformance of the proposed algorithm in comparison to GARCH model has also been empirically established by means of Root Mean Square Error, Mean Absolute Error and R2 log. |
Description: | Not Available |
ISSN: | Not Available |
Type(s) of content: | Research Paper |
Sponsors: | Not Available |
Language: | English |
Name of Journal: | National Science Academy Science Letters |
Journal Type: | National Science Academy Science Letter |
NAAS Rating: | Not Available |
Impact Factor: | 1.1 |
Volume No.: | 46(3) |
Page Number: | Not Available |
Name of the Division/Regional Station: | Not Available |
Source, DOI or any other URL: | DOI: 10.1007/s40009-023-01218-x |
URI: | http://krishi.icar.gov.in/jspui/handle/123456789/82091 |
Appears in Collections: | AEdu-IASRI-Publication |
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