Volatility in Agricultural Commodities Prices, Case of Sugar Prices: Evidence of ARIMA-GARCH Family Models

Abstract

This article focused on analyzing the volatility in agricultural commodities prices, where the class of ARMA models with ARCH errors were used. Maximum Likelihood and Least Squares estimates of the parameters of the model and their covariance matrices are noted and incorporated into techniques for the model building based upon the application of the usual Box-Jenkins methodology of identification, estimation, and diagnostic checking to the ARMA equation, the ARCH equation, and the full model. The techniques are applied to sugar prices daily time series over the period (1962-2020). It is seen that  fits well the data among other competitive models.