Mathematical Modeling of the Price Volatility of Maize and Sorghum between 1960 and 2022
Table 4.
Parameter estimates for ARCH/GARCH Models for Maize Returns
|
| Parameter |
ARCH |
GARCH(1 1) |
EGARCH |
TGRACH |
PARCH |
CGARCG |
IGARCH |
|
|
| Constant (C) |
0.008371 (0.00207) |
0.008406 (0.00206) |
0.005840 (0.00191) |
0.006180 (0.00219) |
0.005690 (0.00228) |
0.006039 (0.00206) |
0.000141 (0.00099) |
|
| Intercept (βo) |
0.002332 (0.00008) |
0.002257 (0.00013) |
-4.93444 (0.43957) |
0.002286 (0.00014) |
2.65E-11 (0.00000) |
0.683604 (0.30763) |
|
|
| ARCH term (β1) |
0.712570(0.02800) |
0.713032 (0.02837) |
0.752085 (0.04621) |
0.173906 (0.05994) |
0.334664 (0.28167) |
0.999855 (0.00005) |
0.051931 (0.00236) |
|
| GARCH term (α1) |
|
0.017303 (0.025940) |
-0.326653 (0.040857) |
0.037320 (0.025652) |
0.387015 (0.05865) |
0.093682 (0.019705) |
0.948069 (0.00236) |
|
| Γ |
|
|
0.213528 (0.077285) |
0.896184 (0.079941) |
0.001232 (0.00641) |
0.439889 (0.031436) |
|
|
| d |
|
|
|
|
1.0000 |
|
|
|
| Ø |
|
|
|
|
|
-0.034500 (0.048785 |
|
|
| β1 + α1 |
|
0.730335 |
0.425432 |
0.211226 |
0.721679 |
1.093537 |
1.0000 |
|
| µ |
|
122.4135 |
122.4135 |
122.4135 |
122.4135 |
122.4135 |
122.4135 |
|
| Log L |
1043.861 |
1043.943 |
1053.490 |
1058.354 |
1063.885 |
1061.443 |
1006.588 |
|
| AIC |
-2.768248 |
-2.765805 |
-2.788538 |
-2.801472 |
-2.81352 |
-2.807029 |
-2.671777 |
|
| SC |
-2.749806 |
-2.741216 |
-2.757802 |
-2.770736 |
-2.77664 |
-2.770145 |
-2.659483 |
|
|
Note: Numbers in parenthesis indicate standard error
|
|
