Statistical analysis of export price volatility of oil seed in Ethiopia
International Journal of Development Research
Statistical analysis of export price volatility of oil seed in Ethiopia
Received 04th September, 2018; Received in revised form 22nd October, 2018; Accepted 06th November, 2018; Published online 26th December, 2018
Copyright © 2018, Sebsib Muanenda. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Ethiopian oil seeds and pulses are mostly organically produced, and are known for their flavor and nutritional value. The aim of this study is to model the export price volatility of oil seed Ethiopia using GARCH model. The data used are monthly observations of the export price of oil seed, food price index, import fuel oil price and exchange rate from January 1998 to June 2013. Unit root tests of the series under study reveal that all the series are non-stationary at level and stationary after first difference. GARCH models were employed to analyze the monthly export price of oil seed data. It was found that ARMA (2,1)-GARCH(1,1) with normal distributional assumption for the residuals were adequate model for the data considered in this study. Among the exogenous variables that are considered in this study, food price index and import fuel oil price had an impact on the volatility of the export price of oil seed in Ethiopia.
