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Article Open Access November 03, 2023

Mathematical Modeling of the Price Volatility of Maize and Sorghum between 1960 and 2022

Samuel Olorunfemi Adams 1,*, Mohammed Anono Zubair 1 and Michael Franklin Ezike 1
1
Department of Statistics, University of Abuja, Abuja, Nigeria
Publihed in: International Journal of Mathematical, Engineering, Biological and Applied Computing (Volume 1, Issue 1, 2023)
Page(s): 38-56
DOI: 10.31586/jml.2023.801
Received
September 16, 2023
Revised
October 29, 2023
Accepted
November 01, 2023
Published
November 03, 2023
Keywords
ANN; ARCH; GARCH; Maize; Sorghum; AIC; Volatility
Creative Commons

This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright: Copyright © The Author(s), 2023. Published by Scientific Publications
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Cite This Article

APA Style
Adams, S. O. , Zubair, M. A. , & Ezike, M. F. (2023). Mathematical Modeling of the Price Volatility of Maize and Sorghum between 1960 and 2022. International Journal of Mathematical, Engineering, Biological and Applied Computing, 1(1), 38-56. https://doi.org/10.31586/jml.2023.801
ACS Style
Adams, S. O. ; Zubair, M. A. ; Ezike, M. F. Mathematical Modeling of the Price Volatility of Maize and Sorghum between 1960 and 2022. International Journal of Mathematical, Engineering, Biological and Applied Computing 2023 1(1), 38-56. https://doi.org/10.31586/jml.2023.801
Chicago/Turabian Style
Adams, Samuel Olorunfemi, Mohammed Anono Zubair, and Michael Franklin Ezike. 2023. "Mathematical Modeling of the Price Volatility of Maize and Sorghum between 1960 and 2022". International Journal of Mathematical, Engineering, Biological and Applied Computing 1, no. 1: 38-56. https://doi.org/10.31586/jml.2023.801
AMA Style
Adams SO, Zubair MA, Ezike MF. Mathematical Modeling of the Price Volatility of Maize and Sorghum between 1960 and 2022. International Journal of Mathematical, Engineering, Biological and Applied Computing. 2023; 1(1):38-56. https://doi.org/10.31586/jml.2023.801 
@Article{ijmebac801,
AUTHOR = {Adams, Samuel Olorunfemi and Zubair, Mohammed Anono and Ezike, Michael Franklin},
TITLE = {Mathematical Modeling of the Price Volatility of Maize and Sorghum between 1960 and 2022},
JOURNAL = {International Journal of Mathematical, Engineering, Biological and Applied Computing},
VOLUME = {1},
YEAR = {2023},
NUMBER = {1},
PAGES = {38-56},
URL = {https://www.scipublications.com/journal/index.php/JML/article/view/801},
ISSN = {2832-5273},
DOI = {10.31586/jml.2023.801},
ABSTRACT = {The price of grains like maize and sorghum is subject to significant fluctuations, which can have a significant impact on a country's economy and food security. The aim of the study is to model sorghum and maize price volatility in Nigeria. The data utilized in the study was extracted from World Bank Commodity Price Data (WBCPD), 2022. The data consists of monthly prices in nominal US dollars for maize and sorghum from January 1960 – August 2022. The Autoregressive Conditional Heteroskedasticity (ARCH) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models were utilized for capturing the two-grain price volatility. Two types of conditional heteroscedastic models exist, the first group uses exact functions to control the evolution of , while the second group describes with stochastic equations. It is inferred from the result that inherent uncertainties and fluctuations existed in the prices of maize and sorghum in Nigeria which implies that the price volatility is positive and statistically significant suggesting that historical information and past shocks play a crucial role in determining the volatility observed in the grains. It is recommended that the ARCH, GARCH, EGARCH, TGARCH, PARCH, CGARCH, and IGARCH models should be employed for modeling and managing the volatility of maize and sorghum prices in Nigeria. These models have shown effectiveness in capturing different aspects of volatility, including the impact of past shocks, conditional volatility, asymmetry, and other relevant factors.},
}
%0 Journal Article
%A Adams, Samuel Olorunfemi
%A Zubair, Mohammed Anono
%A Ezike, Michael Franklin
%D 2023
%J International Journal of Mathematical, Engineering, Biological and Applied Computing

%@ 2832-5273
%V 1
%N 1
%P 38-56

%T Mathematical Modeling of the Price Volatility of Maize and Sorghum between 1960 and 2022
%M doi:10.31586/jml.2023.801
%U https://www.scipublications.com/journal/index.php/JML/article/view/801

TY  - JOUR
AU  - Adams, Samuel Olorunfemi
AU  - Zubair, Mohammed Anono
AU  - Ezike, Michael Franklin
TI  - Mathematical Modeling of the Price Volatility of Maize and Sorghum between 1960 and 2022
T2  - International Journal of Mathematical, Engineering, Biological and Applied Computing
PY  - 2023
VL  - 1
IS  - 1
SN  - 2832-5273
SP  - 38
EP  - 56
UR  - https://www.scipublications.com/journal/index.php/JML/article/view/801
AB  - The price of grains like maize and sorghum is subject to significant fluctuations, which can have a significant impact on a country's economy and food security. The aim of the study is to model sorghum and maize price volatility in Nigeria. The data utilized in the study was extracted from World Bank Commodity Price Data (WBCPD), 2022. The data consists of monthly prices in nominal US dollars for maize and sorghum from January 1960 – August 2022. The Autoregressive Conditional Heteroskedasticity (ARCH) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models were utilized for capturing the two-grain price volatility. Two types of conditional heteroscedastic models exist, the first group uses exact functions to control the evolution of , while the second group describes with stochastic equations. It is inferred from the result that inherent uncertainties and fluctuations existed in the prices of maize and sorghum in Nigeria which implies that the price volatility is positive and statistically significant suggesting that historical information and past shocks play a crucial role in determining the volatility observed in the grains. It is recommended that the ARCH, GARCH, EGARCH, TGARCH, PARCH, CGARCH, and IGARCH models should be employed for modeling and managing the volatility of maize and sorghum prices in Nigeria. These models have shown effectiveness in capturing different aspects of volatility, including the impact of past shocks, conditional volatility, asymmetry, and other relevant factors.
DO  - Mathematical Modeling of the Price Volatility of Maize and Sorghum between 1960 and 2022
TI  - 10.31586/jml.2023.801
ER  -