Forecasting agricultural price volatility of some export crops in Egypt using ARIMA/GARCH model

Abstract

PurposeThis study focuses on forecasting the price of the most important export crops of vegetables and fruits in Egypt from 2016 to 2030.Design/methodology/approachThe study applied generalized autoregressive conditional heteroskedasticity (GARCH) model and autoregressive integrated moving average (ARIMA) model.FindingsThe results show that ARIMA (1,1,1), ARIMA (2.1,2), ARIMA (1,1,0), ARIMA (1,1,2), ARIMA (0,1,0) and ARIMA (1,1,1) are the most appropriate fitted models to evaluate the volatility of price of green beans, tomatoes, onions, oranges, grapes and strawberries, respectively. The results also revealed the presence of ARCH effect only in the case of Potatoes, hence it is suggested that the GARCH approach be used instead. The GARCH (1,1) is found to be a better model in forecasting price of potatoes.Originality/valueThe study of food price volatility in developing countries is essential, since a significant share of household budgets is spent on food in these economies, so forecasting agricultural prices is a substantial requirement for drawing up many economic plans in the fields of agricultural production, consumption, marketing and trade.