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Retail Price Volatility: The Case of Coconut in Sri Lanka

Author

Listed:
  • Dilrukshi, K.B.M.T.
  • Jayalath, K.V.V.N.
  • Dissanayake, S.N.
  • Perera, S.M.S.D.

Abstract

This study attempted to analyze the volatility of the retail price of coconuts using monthly time series data from January 1991 to July 2020 and forecast the same for July 2020 to June 2021. The analysis found the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) (1,1) model as the best fit model. Coefficients of past values of the error term and conditional variance are positive and significant indicating positive impacts on the prevailing price volatility. Coefficients of lagged values of conditional variance and error terms are 0.771 and 0.179 respectively. The study concludes that the volatility shocks persist, and the model is appropriate to forecast the retail price of coconuts in Sri Lanka.

Suggested Citation

  • Dilrukshi, K.B.M.T. & Jayalath, K.V.V.N. & Dissanayake, S.N. & Perera, S.M.S.D., . "Retail Price Volatility: The Case of Coconut in Sri Lanka," Sri Lankan Journal of Agricultural Economics, Sri Lanka Agricultural Economics Association (SAEA), vol. 23(01).
    • Handle: RePEc:ags:saeasj:359066
    DOI: 10.22004/ag.econ.359066
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    References listed on IDEAS

    as
    1. Michael McKenzie & Heather Mitchell, 2002. "Generalized asymmetric power ARCH modelling of exchange rate volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 12(8), pages 555-564.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    3. Han Hwa Goh & Kim Leng Tan & Chia Ying Khor & Sew Lai Ng, 2016. "Volatility and Market Risk of Rubber Price in Malaysia: Pre- and Post-Global Financial Crisis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 14(2), pages 323-344, December.
    4. Leaver, Rosemary, 2004. "Measuring the supply response function of tobacco in Zimbabwe," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 43(01), pages 1-19, March.
    5. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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