Abstract
This study attempted to analyze the volatility of the retail price of coconuts using monthly time series data from January 1991 to July 2020 and forecast the same for July 2020 to June 2021. The analysis found the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) (1,1) model as the best fit model. Coefficients of past values of the error term and conditional variance are positive and significant indicating positive impacts on the prevailing price volatility. Coefficients of lagged values of conditional variance and error terms are 0.771 and 0.179 respectively. The study concludes that the volatility shocks persist, and the model is appropriate to forecast the retail price of coconuts in Sri Lanka.
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