Volatility of primary commodity prices: some evidence from agricultural exports in Sub-Saharan Africa

Raymond B Swaray

Discussion Papers from Department of Economics, University of York

Abstract: This paper utilizes three univariate ARCH-type models to empirically examine persistence and asymmetry in volatility of prices of primary agricultural commodities produced in Sub-Sahara Africa. Maximum likelihood estimation results of the three models ranked the GARCH version as the best statistical fit, lending support for hypotheses of persistence, symmetry and variability in volatility. This pattern of volatility could effectively jeopardize the success of traditional commodity price risk management policies used in this region. Policymakers should appreciate potential benefits associated with market-based strategies for managing commodity exposure of these countries.

Keywords: GARCH; TGARCH; EGARCH; price volatility; agricultural commodities; Sub-Saharan Africa. (search for similar items in EconPapers)
JEL-codes: C22 E3 O11 O17 Q11 Q17 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-afr and nep-dev
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Persistent link: https://EconPapers.repec.org/RePEc:yor:yorken:02/06

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