PREDICTING AND ANALYZING OF TURKISH SUGAR PRICE WITH ARCH, GARCH, EGARCH AND ARIMA METHODS
Using GARCH(p,q) models, in this study our aim is to examine and search the characteristics of volatility of Turkish sugar price. Due to the ARCH effects on price, ARCH(q), GARCH(p,q) and EGARCH(p,q) including these effects on mean and variance equations were estimated. Normal, t-Student, and genera...
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| Format: | Article |
| Language: | English |
| Published: |
University of Agricultural Sciences and Veterinary Medicine, Bucharest
2021-01-01
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| Series: | Scientific Papers Series : Management, Economic Engineering in Agriculture and Rural Development |
| Online Access: | https://managementjournal.usamv.ro/pdf/vol.21_3/Art80.pdf |
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| Summary: | Using GARCH(p,q) models, in this study our aim is to examine and search the characteristics of volatility of Turkish sugar price. Due to the ARCH effects on price, ARCH(q), GARCH(p,q) and EGARCH(p,q) including these effects on mean and variance equations were estimated. Normal, t-Student, and generalized error distributions with Maximum Likelihood Estimation Method were estimated for these models. Determining the optimal parameters, Marquardt’s algorithm (1963) was used for maximizing the log-likelihood function. Mean absolute percentage error (MAPE), root mean square error (RMSE) and mean absolute deviation (MAD) were used to determine the fit model for making predicting. In this study, we found the best model as a GARCH (1,1) model. |
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| ISSN: | 2284-7995 2285-3952 |