Statistical analysis of price volatility of agricultural commodities traded at the Ethiopian commodity exchange (ECX) using multiplicative GARCH-MIDAS two-component model
Teshome Hailemeskel Abebe, Emmanuel Gabreyohannes Woldesenbet, Belaineh Legesse Zeleke
| Year of publication: |
2022
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|---|---|
| Authors: | Abebe, Teshome Hailemeskel ; Woldesenbet, Emmanuel Gabreyohannes ; Legesse, Belaineh |
| Published in: |
Global business review. - New Delhi [u.a.] : SAGE Publ., ISSN 0973-0664, ZDB-ID 2211884-6. - Vol. 23.2022, 4, p. 925-945
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| Subject: | GARCH model | GARCH-MIDAS component model | long-term volatility component | Price volatility | short-term volatility component | Volatilität | Volatility | ARCH-Modell | ARCH model | Warenbörse | Commodity exchange | Äthiopien | Ethiopia |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1177/0972150919895628 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013387258