PREDICTING AND ANALYZING OF TURKISH SUGAR PRICE WITH ARCH, GARCH, EGARCH AND ARIMA METHODS

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Atıf İçin Kopyala

ŞAHİNLİ M. A.

SCIENTIFIC PAPERS-SERIES MANAGEMENT ECONOMIC ENGINEERING IN AGRICULTURE AND RURAL DEVELOPMENT, cilt.21, sa.3, ss.703-712, 2021 (ESCI)

• Yayın Türü: Makale / Tam Makale
• Cilt numarası: 21 Sayı: 3
• Basım Tarihi: 2021
• Dergi Adı: SCIENTIFIC PAPERS-SERIES MANAGEMENT ECONOMIC ENGINEERING IN AGRICULTURE AND RURAL DEVELOPMENT
• Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI)
• Sayfa Sayıları: ss.703-712
• Anahtar Kelimeler: arch, garch, egarch, arima, volatility, forecasting, sugar price, AUTOREGRESSIVE TIME-SERIES, VOLATILITY
• Ankara Üniversitesi Adresli: Evet

Özet

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.