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
Yiyang Qiao,
Byeong‐il Ahn
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 … Show more
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