1PG Scholars, N. M Collage of Agriculture
2Associate Professor, AABMI, NAU, Navsari
This paper attempts to model and forecast the sugar prices volatility in the India using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. Various types of GARCH models for instance; GARCH (1, 1), EGARCH(1, 1)were applied to sugar the period 1995–2015; to test the hypothesis of persistence, asymmetry and volatility of the spot and futuresprices. It is found that, the sum of ARCH and GARCH coefficients is not close to one, indicating that volatility shocks is not quite persistent, moreover volatility, in addition none of sugar spot and futures prices has an impact of bad news on the price volatility, while lastly leverage effect is not present on the conditional variance. Therefore (GARCH) models are appropriate in modeling and forecasting sugar prices volatility.
ARCH, asymmetry, EGARCH, heteroskedasticity, leverage effect, p rice volatility, sugar, volatility clustering
