Application of Garch Models in Forecasting the Volatility of Export Prices
No Thumbnail Available
Date
2009-02
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Addis Abeba university
Abstract
This thesis discusses the GARCH model fitting and volatility forecasting of export prices data.
We have chosen to confine our analysis on total export prices, coffee export prices and oil seeds
export prices. The implied goal is to fit an appropriate GARCH model, to find out if the
mentioned export prices are volatile or not and to forecast the volatility for some future times.
ARMA(1,1) is found as the most appropriate model for the conditional mean of total, coffee and
oilseeds export prices and it is also found that GARCH(2,1) for modeling volatility of total
export prices and coffee export prices, and GARCH(2,2) for modeling volatility of oil seeds
export prices as best models. Moreover, the results suggest that the export prices volatility is
persistence in all the three cases indicating that past volatility is important in predicting
(forecasting) future volatility.
Key Words: export, GARCH, volatility, forecasting, Ethiopia
Description
Keywords
export, Garch, volatility, forecasting, Ethiopia