Volatility Analysis of Sunflower and Groundnut Price and Arrivals at Challakere and Sira Market

摘要

Issue of prices volatility has assumed critical importance today in the context of agricultural trade liberalization. Volatility in prices and arrivals of groundnut and sunflower crops from Challakere and Sira markets is modeled in the present stdy using ARCH model. This technique initially develops models for the variance of prices and arrivals. Later, these variances are used in obtaining the actual prices and arrivals. Lagrange - Multiplier (LM) test indicates the presence of ARCH effect in all series except for Sunflower arrivals in both Challakere and Sira markets. High value ofR^ and low value of AIC has shown that ARCH (1) model was adequate in modeling all the series. Residuals obtained from these models are tested for ARCH effects using 2,LM test. The result shows that there was no residual ARCH effect. Thus, ARCH (1) model is known to best fit it is further used in forecasting the monthly average prices and arrivals of groundnut and sunflower at Challakere and Sira markets, for the year2014.