Price forecasting of mustard using ARIMA and EGARCH models

Abstract

Autoregressive Integrated Moving Average (ARIMA) and Exponential GARCH (EGARCH) model was
studied along with their estimation procedures for modelling and forecasting of mustard price. For forecasting
mustard price ARIMA (0,1,1) model is used which gives reasonable and acceptable forecasts but the study
has revealed that the AR(1)-EGARCH(1,1) model outperformed the price forecasting models for mustard
prices primarily due to its ability to capture asymmetric volatility pattern.