Economics, Econometrics and Finance
6 years ago

Sugar prices volatility in India not impacted by bad news, leverage effect.

Indian Journal of Economics and Development
Modeling of Sugar Prices Volatility in India using Autoregressive Conditional Heteroskedasticity Models
Pooja Gamit, Alpesh Leua, Vishal Tandel

Paper Summary

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The article models and predicts sugar price volatility in India using GARCH models. Different GARCH models were tested on sugar prices from 1995 to 2015. The results show that volatility shocks are not very persistent, bad news does not affect sugar prices, and there is no leverage effect on price variance. GARCH models are effective for forecasting sugar price volatility.