Application Of Garch Models In Forecasting The Volatility Of Export Prices

This thesis discusses the GARCH model fitting and volatility forecasting of export prices data.rnWe have chosen to confine our analysis on total export prices, coffee export prices and oil seedsrnexport prices. The implied goal is to fit an appropriate GARCH model, to find out if thernmentioned export prices are volatile or not and to forecast the volatility for some future times.rnARMA(1,1) is found as the most appropriate model for the conditional mean of total, coffee andrnoilseeds export prices and it is also found that GARCH(2,1) for modeling volatility of totalrnexport prices and coffee export prices, and GARCH(2,2) for modeling volatility of oil seedsrnexport prices as best models. Moreover, the results suggest that the export prices volatility isrnpersistence in all the three cases indicating that past volatility is important in predictingrn(forecasting) future volatility.rnKey Words: export, GARCH, volatility, forecasting, Ethiopia

Get Full Work

Report copyright infringement or plagiarism