Mathematical Modeling of the Price Volatility of Maize and Sorghum between 1960 and 2022
Table 7.
Serial Correlation Test Results of the two Best Fitted Volatility Models
|
| |
IGARCH (1,1) – MAIZE |
IGARCH (1,1) – SORGHUM |
|
|
| Lag |
AC |
PAC |
Q-Stat |
Prob* |
AC |
PAC |
Q-Stat |
Prob* |
|
| 1 |
0.066 |
0.066 |
3.2149 |
0.073 |
0.066 |
0.066 |
3.2149 |
0.073 |
|
| 2 |
0.003 |
-0.001 |
3.2227 |
0.200 |
0.003 |
-0.001 |
3.2227 |
0.200 |
|
| 3 |
0.071 |
0.071 |
6.9045 |
0.075 |
0.071 |
0.071 |
6.9045 |
0.075 |
|
| 4 |
0.007 |
-0.003 |
6.9388 |
0.139 |
0.007 |
-0.003 |
6.9388 |
0.139 |
|
| 5 |
0.007 |
0.007 |
6.9771 |
0.222 |
0.007 |
0.007 |
6.9771 |
0.222 |
|
| 6 |
0.044 |
0.038 |
8.3839 |
0.211 |
0.044 |
0.038 |
8.3839 |
0.211 |
|
| 7 |
0.012 |
0.007 |
8.4925 |
0.291 |
0.012 |
0.007 |
8.4925 |
0.291 |
|
| 8 |
0.018 |
0.016 |
8.7347 |
0.365 |
0.018 |
0.016 |
8.7347 |
0.365 |
|
| 9 |
0.024 |
0.016 |
9.1621 |
0.422 |
0.024 |
0.016 |
9.1621 |
0.422 |
|
| 10 |
0.032 |
0.028 |
9.8973 |
0.450 |
0.032 |
0.028 |
9.8973 |
0.450 |
|
|
|
