Mathematical Modeling of the Price Volatility of Maize and Sorghum between 1960 and 2022
Table 5.
Parameter Estimates for ARCH/GARCH Models for Sorghum Returns
|
| Parameter |
ARCH |
GARCH(1 1) |
EGARCH |
TGRACH |
PARCH |
CGARCG |
IGARCH |
|
|
| Constant (C) |
0.002846 (0.00205) |
0.002973 (0.00193) |
0.002171 (0.00195) |
0.002940 (0.00199) |
0.004641 (0.00012) |
0.001805 (0.00188) |
0.001640 (0.00240) |
|
| Intercept (βo) |
0.002666 (0.00008) |
5.06E-05 (0.00013) |
-7.27544 (0.70586) |
5.07E-05 (0000.15) |
0.027556 (0.01180) |
0.005610 (0.00294) |
|
|
| ARCH term (β1) |
0.208610 (0.04162) |
0.071813 (0.01106) |
0.364205 (0.056300) |
0.068624 (0.011924) |
0.066333 (0.009614) |
0.993188 (0.005011) |
-0.001468 (0.000477) |
|
| GARCH term (α1) |
|
0.918402 (0.008298) |
0.133331 (0.051871) |
0.918656 (0.011539) |
-0.146633 (0.161236) |
0.063565 (0.012749) |
1.001468 (0.000477) |
|
| Γ |
|
|
-0.217412 (0.123057) |
0.006086 (0.026810) |
0.900795 (0.007320) |
|
|
|
| D |
|
|
|
|
0.116385 (0.120912) |
|
|
|
| Ø |
|
|
|
|
|
0.163382 (0.039483) |
|
|
| ρ |
|
|
|
|
|
-0.263334 (0.148080) |
|
|
| β1 + α1 |
|
0.990215 |
0.497536 |
0.98728 |
-0.0803 |
1.056753 |
1.0000 |
|
| Log L |
1060.807 |
1077.683 |
1064.407 |
1077.707 |
1099.256 |
1085.712 |
1050.627 |
|
| AIC |
-2.91006 |
-2.953736 |
-2.914462 |
-2.951052 |
-3.007582 |
-2.970321 |
-2.884805 |
|
| SC |
-2.89113 |
-2.928488 |
-2.882901 |
-2.919491 |
-2.969709 |
-2.932448 |
-2.872181 |
|
|
Note: Numbers in parenthesis indicate standard error
|
|
