Volume 3, Issue 6, November 2014, Page: 177-183
Statistical Analysis of Domestic Price Volatility of Sugar in Ethiopia
Anteneh Asmare Godana, University of Gondar, College of Natural and Computational Science, Department of Statistics, Gondar, Ethiopia
Yibeltal Arega Ashebir, University of Gondar, College of Natural and Computational Science, Department of Statistics, Gondar, Ethiopia
Tewodros Getinet Yirtaw, University of Gondar, College of Natural and Computational Science, Department of Statistics, Gondar, Ethiopia
Received: Aug. 26, 2014;       Accepted: Sep. 9, 2014;       Published: Oct. 30, 2014
DOI: 10.11648/j.ajtas.20140306.12      View  2430      Downloads  203
Abstract
The aim of this study was to model and identify determinants of monthly domestic price volatility of sugar in Ethiopia over the study period from December 2001 to December 2011 GC. The volatility in the domestic price of Sugar has been found to vary over months suggesting the use of GARCH family approach. Thus, family of special characteristics of time series models, namely ARCH, GARCH, TGARCH 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 variation in the data and the optimal lag specification accessed via AIC and SBIC. Comparisons of the symmetric and asymmetric model were carried out based on the significance of asymmetric term in TGARCH and EGARCH models. The analysis showed that: statistically significance asymmetric term and least forecast error from the model established that EGARCH model with Student-t distributional assumptions for residual were superior to the GARCH and TGARCH models. Therefore, ARIMA (0,0,2)-EGARCH(1,3) with Student-t were chosen to be the best fitting models for monthly domestic price volatility of Sugar. Moreover, it was found that from candidate explanatory variables, import price for sugar, fuel oil price, exchange rate (dollar-birr), general inflation, inflation for non food items, inflation for food items, past shock, and volatility on monthly domestic price had statistically significant effect on the current month domestic price volatility on sugar.
Keywords
Price Volatility, Time Series Data, ARIMA, ARCH, GARCH, TGARCH, EGARCH Models
To cite this article
Anteneh Asmare Godana, Yibeltal Arega Ashebir, Tewodros Getinet Yirtaw, Statistical Analysis of Domestic Price Volatility of Sugar in Ethiopia, American Journal of Theoretical and Applied Statistics. Vol. 3, No. 6, 2014, pp. 177-183. doi: 10.11648/j.ajtas.20140306.12
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