Sesame (Sesamum indicum L.) is one of the world's oldest spice and oilseed crops grown mainlyrnfor its seeds that contain approximately 50% oil and 25% protein. Ethiopian oilseeds and pulsesrnare mostly organically produced, and are known for their flavor and nutritional value. Sesame isrnthe second-largest export crop in Ethiopia, after coffee, and accounts for over 90% of the valuernof oil seeds exports. The aim of this study is to model the export price of sesame as well as itsrnvolatility in Ethiopia using ARIMA and GARCH family models. The data used are monthlyrnobservations of the export price of sesame, food price index, fuel oil price and exchange raternfrom January 1998 to June 2013.rnUnit root tests of the series under study reveal that all the series are non-stationary at level andrnstationary after first difference. ARIMA and GARCH models were employed to analyze thernmonthly export price of sesame data. It was found that ARIMA(0,1,1) and ARMA(2,2)-rnGARCH(2,1) with normal distributional assumption for the residuals were adequate models forrnthe data considered in this study. Among the exogenous variable that are considered in thisrnstudy, food price index had an impact on the volatility of the export price of sesame in Ethiopia.rnFinally, various forecast accuracy statistics indicate that the estimated ARIMA model is goodrnenough to describe the export price of sesame. Moreover, the out-of-sample forecasts indicaternthat the export price of sesame has an increasing trend. The in-sample forecast using the best-fitrnGARCH model indicates that the export price volatility of sesame steadily increased at thernbeginning of the study period, remained at almost a constant level till 2007 and then exhibited arndownward trend around the end of the study period.rnKey words: Sesame, ARIMA, GARCH, Forecasting, Ethiopia