{"title":"使用 ARMA-GARCH 模型分析和预测蔬菜价格:CF 滤波和季节调整方法在韩国青葱中的应用","authors":"Yiyang Qiao, Byeong‐il Ahn","doi":"10.1002/agr.21958","DOIUrl":null,"url":null,"abstract":"The vegetable market experiences significant price fluctuations due to the complex interplay of trend, cyclical, seasonal, and irregular factors. This study takes Korean green onions as an example and employs the Christiano–Fitzgerald filter and the CensusX‐13 seasonal adjustment methods to decompose its price into four components: trend, cyclical, seasonal and irregular fluctuations. To estimate the price volatility and forecast future prices, we apply an ARMA‐GARCH model and use various statistical measures to assess the prediction accuracy. The empirical results demonstrate the effectiveness of ARMA(1, 2)‐GARCH(1, 1) model in modeling and forecasting the seasonally adjusted price of Korean green onions. Our study provides an important reference for expanding research in the field of vegetable price fluctuations and formulating strategies for stabilizing prices. [EconLit Citations: Q11, C22, Q02].","PeriodicalId":55544,"journal":{"name":"Agribusiness","volume":null,"pages":null},"PeriodicalIF":2.1000,"publicationDate":"2024-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Volatility analysis and forecasting of vegetable prices using an ARMA‐GARCH model: An application of the CF filter and seasonal adjustment method to Korean green onions\",\"authors\":\"Yiyang Qiao, Byeong‐il Ahn\",\"doi\":\"10.1002/agr.21958\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The vegetable market experiences significant price fluctuations due to the complex interplay of trend, cyclical, seasonal, and irregular factors. This study takes Korean green onions as an example and employs the Christiano–Fitzgerald filter and the CensusX‐13 seasonal adjustment methods to decompose its price into four components: trend, cyclical, seasonal and irregular fluctuations. To estimate the price volatility and forecast future prices, we apply an ARMA‐GARCH model and use various statistical measures to assess the prediction accuracy. The empirical results demonstrate the effectiveness of ARMA(1, 2)‐GARCH(1, 1) model in modeling and forecasting the seasonally adjusted price of Korean green onions. Our study provides an important reference for expanding research in the field of vegetable price fluctuations and formulating strategies for stabilizing prices. [EconLit Citations: Q11, C22, Q02].\",\"PeriodicalId\":55544,\"journal\":{\"name\":\"Agribusiness\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.1000,\"publicationDate\":\"2024-06-10\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Agribusiness\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1002/agr.21958\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"AGRICULTURAL ECONOMICS & POLICY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Agribusiness","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1002/agr.21958","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"AGRICULTURAL ECONOMICS & POLICY","Score":null,"Total":0}
Volatility analysis and forecasting of vegetable prices using an ARMA‐GARCH model: An application of the CF filter and seasonal adjustment method to Korean green onions
The vegetable market experiences significant price fluctuations due to the complex interplay of trend, cyclical, seasonal, and irregular factors. This study takes Korean green onions as an example and employs the Christiano–Fitzgerald filter and the CensusX‐13 seasonal adjustment methods to decompose its price into four components: trend, cyclical, seasonal and irregular fluctuations. To estimate the price volatility and forecast future prices, we apply an ARMA‐GARCH model and use various statistical measures to assess the prediction accuracy. The empirical results demonstrate the effectiveness of ARMA(1, 2)‐GARCH(1, 1) model in modeling and forecasting the seasonally adjusted price of Korean green onions. Our study provides an important reference for expanding research in the field of vegetable price fluctuations and formulating strategies for stabilizing prices. [EconLit Citations: Q11, C22, Q02].
期刊介绍:
Agribusiness: An International Journal publishes research that improves our understanding of how food systems work, how they are evolving, and how public and/or private actions affect the performance of the global agro-industrial complex. The journal focuses on the application of economic analysis to the organization and performance of firms and markets in industrial food systems. Subject matter areas include supply and demand analysis, industrial organization analysis, price and trade analysis, marketing, finance, and public policy analysis. International, cross-country comparative, and within-country studies are welcome. To facilitate research the journal’s Forum section, on an intermittent basis, offers commentary and reports on business policy issues.