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GARCH Time Series Models: An Application to Natural Rubber production in India

V. Anithakumari, P. Arumugam


This paper investigates the relative efficiency of Autoregressive Moving Average Model, Generalized Autoregressive Conditional Heteroscedasticity and Autoregressive Conditional Heteroscedasticity model. These models applied to econometric dynamics, in the finance for domain. The nature of this class of these models explored in relation to the conventional linear and non-linear modeling approach, with reference to the Natural Rubber production data. The fitted model is compared with the simple autoregressive Moving Average (ARMA) model, ARCH and GARCH models. These results in favor of the GARCH model are the best of these entire model using LM test and the Ljung-Box test. Thus the natural Rubber production in India exhibits a type of linearity and nonlinearity. It is generally outperformed by compare the ARMA, ARCH and GARCH models.

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