Possibilities of Utilization of Univariate Time Series Analysis in Prices Modelling

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60460709%3A41110%2F16%3A71350" target="_blank" >RIV/60460709:41110/16:71350 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Possibilities of Utilization of Univariate Time Series Analysis in Prices Modelling
Original language description
The paper deals with an examination of possibilities of utilization of univariate time series analysis for description and forecasting of agri-food prices. The analysis is based on monthly time series of farm-gate price, wholesale price and consumer price in 9 agri-food chains in the Czech Republic; 22 time series were examined in period January 2000 – June 2015. Based on Box-Jenkins methodology an appropriate ARIMA models were estimated. Then, the future development of individual time series was forecasted for prognostic horizon of 6 periods and evaluated based on MAPE values. The analysis proved non-stationarity of almost all time series and suitability of ARIMA model utilization in agri-food prices modelling. The suitability of ARIMA models for prognostic purposes was proven in almost all analyzed time series; however, some time series should be forecasted rather using other time series model. Generally, ARIMA model might be considered as an appropriate tool for agri-food prices modelling and fore
Czech name
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Czech description
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Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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