Author(s):
Jyothi Shivakumar N.M, G. Kotreshwar
Email(s):
jyothishivkumar@gmail.com
DOI:
10.5958/2321-5763.2017.00116.0 
Address:
Jyothi Shivakumar N.M1*, Dr. G. Kotreshwar2
1Research Scholar, DoS in Commerce, University of Mysore, Manasagangotri, Mysore, Karnataka State, India.
2Professor, DoS in Commerce, University of Mysore, Manasagangotri, Mysore, Karnataka State, India.
*Corresponding Author
Published In:
Volume - 8,
Issue - 3,
Year - 2017
ABSTRACT:
Agriculture is the backbone of the Indian Economy with its contribution to the sustenance of over 60% of county’s population. High voltage price variability of agri commodities continues to dampen the prospects of agriculture sector. Emerging agri-commodity futures market offers an excellent opportunity to hedge the price risk. This study is undertaken to analyse the behavior of futures price of Maize which is one of the major agri commodities in India. Earlier research studies have focused on modeling price discovery process of commodities other than maize. This study aims to examine and fit a suitable ARIMA (Auto Regressive Integrated Moving Average) MODEL for the purpose of estimation of the futures price of maize. This study is based on secondary data. Daily closing price of Maize was collected from NCDEX website for the period starting from October 2013 to March 2016 with the total 213 observations. Econometric tools such as Unit Root Test, ACF, PACF are applied and model adequacy test was done on the fitted model. The result shows that ARIMA (2,1,1) is the most appropriate model to forecast the price of Maize in India.
Cite this article:
Jyothi Shivakumar N.M, G. Kotreshwar. “Modelling Maize Futures Price” -An Empirical Analysis Based on ARIMA Approach. Asian J. Management; 2017; 8(3):734-740. doi: 10.5958/2321-5763.2017.00116.0
Cite(Electronic):
Jyothi Shivakumar N.M, G. Kotreshwar. “Modelling Maize Futures Price” -An Empirical Analysis Based on ARIMA Approach. Asian J. Management; 2017; 8(3):734-740. doi: 10.5958/2321-5763.2017.00116.0 Available on: https://ajmjournal.com/AbstractView.aspx?PID=2017-8-3-59