Similar Search Results

Statistical analysis of price volatility of agricultural commodities traded at the Ethiopian commodity exchange (ECX) using multiplicative GARCH-MIDAS two-component model

Abebe, Teshome Hailemeskel; Woldesenbet, Emmanuel … - In: Global business review 23 (2022) 4, pp. 925-945

Persistent link: https://www.econbiz.de/10013387258

Modeling time-varying coffee price volatility in Ethiopia

Abebe, Teshome Hailemeskel - In: Journal of Applied Economics 23 (2020) 1, pp. 497-518

Recently, modeling and forecasting of high-frequency data (such as daily price) volatility using GARCH-MIDAS attract the attention of many researchers. Thus, the objective of this study is to model the average daily coffee price volatility from 1 January 2010 to 30 June 2019. The GARCH-MIDAS...

Persistent link: https://www.econbiz.de/10015334304