Measuring Maize Price Volatility in Swaziland using ARCH/GARCH approach

Sukati, Mphumuzi (2013): Measuring Maize Price Volatility in Swaziland using ARCH/GARCH approach.

Abstract

This paper investigates maize price volatility in Swaziland as offered by NMC, an organization with a mandate of stabilizing prices in the country. Price volatility is analyzed using ARCH/GARCH modeling techniques. Results show that the organization has not been able to stabilize prices in the past years. This is likely because of exogenous global shocks in maize prices which are transmitted to the local market. These external shocks transmission are mainly because the organization imports a lot of maize to meet local demand. However, although prices have been volatile, the organization has been able to control persistence in volatility. Asymmetric analysis of the prices shows that prices have not reacted unequally to shock increase or decrease in prices. However, increase in maize prices has been seen as fueling volatility, which does not bode well for consumers. This analysis therefore has formed an important contribution to analysis of storage facilities and their role in stabilizing prices. Storage facilities will become important especially for third world countries with increased unpredictability in agricultural production due to climate change.

• Item Type: MPRA Paper
• Language: English
• Keywords: NMC, Maize Prices, Volatility, ARCH/GARCH, Persistence, Climate Change, Storage Facilities
• Subjects: A - General Economics and Teaching > A1 - General Economics; A - General Economics and Teaching > A1 - General Economics > A12 - Relation of Economics to Other Disciplines; O - Economic Development, Innovation, Technological Change, and Growth > O1 - Economic Development; O - Economic Development, Innovation, Technological Change, and Growth > O1 - Economic Development > O13 - Agriculture ; Natural Resources ; Energy ; Environment ; Other Primary Products; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q1 - Agriculture; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q1 - Agriculture > Q18 - Agricultural Policy ; Food Policy

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