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- Title
PREDICTING AND ANALYZING OF TURKISH SUGAR PRICE WITH ARCH, GARCH, EGARCH AND ARIMA METHODS.
- Authors
ŞAHİNLİ, Mehmet Arif
- Abstract
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.
- Subjects
STANDARD deviations; AGRICULTURAL engineering; MARQUARDT algorithm; MAXIMUM likelihood statistics; GARCH model; SUGAR
- Publication
Scientific Papers Series Management, Economic Engineering in Agriculture & Rural Development, 2021, Vol 21, Issue 3, p703
- ISSN
2284-7995
- Publication type
Article