The nature of volatility in temporal profit with in Ethiopian commodity exchange: The case of washed export coffee modelled using ARFIMA-M-HYGARCH model
AbstractUsing AFIRMA-M-HYGARCH model it is found that the structure of temporal profit was observed to change in three periods. Since the second and third periods are associated with lagged effect of heavy handed state intervention, it was possible to get an idea to the effect of such state policy. It is concluded in this paper that the strategy was more destabilizing and it did harm wholesale traders by reducing their return from volatility, but it also improve their leverage to some extent. More over in what state intervention resulted is in changing the stable high volatility toward more structured and hard to control clustered volatility, than reducing it. For some time, however, the limit of the volatility was reduced while destabilizing the market from day to day. In general the grain market is observed to have high level of volatility in temporal profit.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 43345.
Date of creation: 20 Feb 2012
Date of revision:
Ethiopian commodity exchange; coffee export; Ethiopia; ECX; FIGARCH; HYGARCH; ARFIMA;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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