Terefe, Amare (2009) Application of Garch Models in Forecasting the Volatility of Export Prices. Masters thesis, Addis Ababa University.
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Abstract
This thesis discusses the GARCH model fitting and volatility forecasting of export prices data. We have chosen to confine our analysis on total export prices, coffee export prices and oil seeds export prices. The implied goal is to fit an appropriate GARCH model, to find out if the mentioned export prices are volatile or not and to forecast the volatility for some future times. ARMA(1,1) is found as the most appropriate model for the conditional mean of total, coffee and oilseeds export prices and it is also found that GARCH(2,1) for modeling volatility of total export prices and coffee export prices, and GARCH(2,2) for modeling volatility of oil seeds export prices as best models. Moreover, the results suggest that the export prices volatility is persistence in all the three cases indicating that past volatility is important in predicting (forecasting) future volatility.
| Item Type: | Thesis (Masters) |
|---|---|
| Uncontrolled Keywords: | export, GARCH, volatility, forecasting, Ethiopia |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HG Finance J Political Science > JZ International relations |
| Divisions: | Africana |
| Depositing User: | Selom Ghislain |
| Date Deposited: | 26 Jun 2018 13:17 |
| Last Modified: | 26 Jun 2018 13:17 |
| URI: | http://thesisbank.jhia.ac.ke/id/eprint/4723 |
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