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100%: Bobo, Tekle: Macroeconomic Determinants of the Coffee Price Volatility in Ethiopia. Application of the Garch-Midas Model (ISBN: 9783346277275) in Englisch, Taschenbuch.Nur diese Ausgabe anzeigen…
100%: Haji, Jema; Abera, Tesfaye; Bobo, Tekle: Macroeconomic Determinants of the Coffee Price Volatility in Ethiopia. Application of the Garch-Midas Model (eBook, PDF) (ISBN: 9783346277268) 2018, in Englisch, auch als eBook.Nur diese Ausgabe anzeigen…
Macroeconomic Determinants of the Coffee Price Volatility in Ethiopia. Application of the Garch-Midas Model
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Macroeconomic Determinants of the Coffee Price Volatility in Ethiopia. Application of the Garch-Midas Model (2017)
~EN PB NW RPISBN: 9783346277275 bzw. 3346277275, vermutlich in Englisch, GRIN Verlag, Taschenbuch, neu, Nachdruck.
Von Händler/Antiquariat, Ria Christie Collections [59718070], Uxbridge, United Kingdom.
PRINT ON DEMAND Book; New; Publication Year 2017; Fast Shipping from the UK. Books.
PRINT ON DEMAND Book; New; Publication Year 2017; Fast Shipping from the UK. Books.
2
Macroeconomic Determinants of the Coffee Price Volatility in Ethiopia. Application of the Garch-Midas Model (2020)
~EN PB NWISBN: 9783346277275 bzw. 3346277275, vermutlich in Englisch, GRIN Verlag, Taschenbuch, neu.
Lieferung aus: Deutschland, Versandkostenfrei.
Von Händler/Antiquariat, AHA-BUCH GmbH [51283250], Einbeck, Germany.
nach der Bestellung gedruckt Neuware - Master's Thesis from the year 2020 in the subject Economics - Statistics and Methods, grade: 24, Haramaya University, language: English, abstract: Application of GARCH type model is a key for modeling and forecasting volatility for high frequency data such as daily commodity price. Following the same framework, the objective of the present study is to apply the multiplicative GARCH-MIDAS model for daily exported coffee price as proxy of daily total coffee price of Ethiopia over the period of 1-1-2008 to 7-17-2018 with the purpose of fitting and forecasting coffee price returns volatility. The GARCH-MIDAS model decomposes the conditional variance as short-term component of GARCH (1,1) process, and long-term component, with monthly frequencies of macroeconomic variables. In this study exchange rate (nominal exchange rate), inflation rate (general inflation), interest rate (lending interest rate), fuel oil price (price of imported petroleum and petroleum production), total consumption and money supply (broad money) macroeconomic variables were employed through MIDAS specification using beta-weighting scheme to analyze impact of the variables on the long-term volatility component. For fitted ARMA (1,1) of coffee price return ARCH effect test on the residual from the mean model revealed the existence of time varying conditional variance for the selected mean model. A conditional variance model GARCH (1,1) was selected and used to model the conditional variance of coffee price return with Quasi Maximum Likelihood along with Bayesian estimation methods and both estimation procedures indicated the persistence of conditional variance observed even for small sample under Bayesian estimation framework. Asymmetry test show the insignificance of the asymmetric term, while Lundbergh and Terasvirta Lagrange Multiplier and the Li-Mak portmanteau test for the residual of GARCH model show the existence of time varying unconditional variance and made call for GARCH-MIDAS model. From the result of estimated GARCH-MIDAS model exchange rate and inflation rate were found to be the best drivers of coffee price volatility in Ethiopia and used for in and out of sample forecast. Finally, the Mean Absolute Error Root Mean Square Error and Diebold Mariano test were used for evaluating and comparing the forecasting ability of GARCH-MIDAS component model against standard GARCH (1,1) model which indicated that, including exchange rate and inflation rate make efficient forecasting of coffee price volatility in Ethiopia. 100 pp. Englisch, Books.
Von Händler/Antiquariat, AHA-BUCH GmbH [51283250], Einbeck, Germany.
nach der Bestellung gedruckt Neuware - Master's Thesis from the year 2020 in the subject Economics - Statistics and Methods, grade: 24, Haramaya University, language: English, abstract: Application of GARCH type model is a key for modeling and forecasting volatility for high frequency data such as daily commodity price. Following the same framework, the objective of the present study is to apply the multiplicative GARCH-MIDAS model for daily exported coffee price as proxy of daily total coffee price of Ethiopia over the period of 1-1-2008 to 7-17-2018 with the purpose of fitting and forecasting coffee price returns volatility. The GARCH-MIDAS model decomposes the conditional variance as short-term component of GARCH (1,1) process, and long-term component, with monthly frequencies of macroeconomic variables. In this study exchange rate (nominal exchange rate), inflation rate (general inflation), interest rate (lending interest rate), fuel oil price (price of imported petroleum and petroleum production), total consumption and money supply (broad money) macroeconomic variables were employed through MIDAS specification using beta-weighting scheme to analyze impact of the variables on the long-term volatility component. For fitted ARMA (1,1) of coffee price return ARCH effect test on the residual from the mean model revealed the existence of time varying conditional variance for the selected mean model. A conditional variance model GARCH (1,1) was selected and used to model the conditional variance of coffee price return with Quasi Maximum Likelihood along with Bayesian estimation methods and both estimation procedures indicated the persistence of conditional variance observed even for small sample under Bayesian estimation framework. Asymmetry test show the insignificance of the asymmetric term, while Lundbergh and Terasvirta Lagrange Multiplier and the Li-Mak portmanteau test for the residual of GARCH model show the existence of time varying unconditional variance and made call for GARCH-MIDAS model. From the result of estimated GARCH-MIDAS model exchange rate and inflation rate were found to be the best drivers of coffee price volatility in Ethiopia and used for in and out of sample forecast. Finally, the Mean Absolute Error Root Mean Square Error and Diebold Mariano test were used for evaluating and comparing the forecasting ability of GARCH-MIDAS component model against standard GARCH (1,1) model which indicated that, including exchange rate and inflation rate make efficient forecasting of coffee price volatility in Ethiopia. 100 pp. Englisch, Books.
3
Macroeconomic Determinants of the Coffee Price Volatility in Ethiopia. Application of the Garch-Midas Model (2020)
~EN PB NW RPISBN: 9783346277275 bzw. 3346277275, vermutlich in Englisch, 100 Seiten, GRIN Verlag GRIN Verlag, Taschenbuch, neu, Nachdruck.
Lieferung aus: Deutschland, Versandkosten nach: Deutschland, Versandkostenfrei.
Von Händler/Antiquariat, Moluna GmbH, [5901482].
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
Von Händler/Antiquariat, Moluna GmbH, [5901482].
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
4
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Macroeconomic Determinants of the Coffee Price Volatility in Ethiopia. Application of the Garch-Midas Model (2018)
~EN NW EB DLISBN: 9783346277268 bzw. 3346277267, vermutlich in Englisch, GRIN Verlag, neu, E-Book, elektronischer Download.
Lieferung aus: Deutschland, Versandkostenfrei.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
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Macroeconomic Determinants of the Coffee Price Volatility in Ethiopia. Application of the Garch-Midas Model (2020)
~EN NWISBN: 9783346277275 bzw. 3346277275, vermutlich in Englisch, Droemer, München, Deutschland, neu.
Lieferung aus: Deutschland, wird bei Bestellung gefertigt.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
6
Macroeconomic Determinants of the Coffee Price Volatility in Ethiopia. Application of the Garch-Midas Model (eBook, PDF) (2018)
~EN NWISBN: 9783346277268 bzw. 3346277267, vermutlich in Englisch, GRIN Verlag, neu.
Lieferung aus: Österreich, Sofort per Download lieferbar, Versandkostenfrei innerhalb von Deutschland.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
7
Macroeconomic Determinants of the Coffee Price Volatility in Ethiopia. Application of the Garch-Midas Model
~EN PB NWISBN: 3346277275 bzw. 9783346277275, vermutlich in Englisch, GRIN Verlag, Taschenbuch, neu.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
8
Macroeconomic Determinants of the Coffee Price Volatility in Ethiopia. Application of the Garch-Midas Model
~EN NW EB DLISBN: 9783346277268 bzw. 3346277267, vermutlich in Englisch, Droemer, München, Deutschland, neu, E-Book, elektronischer Download.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
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