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Mathematical Modeling of the Price Volatility of Maize and Sorghum between 1960 and 2022
Journal of Mathematics Letters
| Vol 1, Issue 1
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