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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 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