Volatility analysis and forecasting of vegetable prices using an ARMA‐GARCH model: An application of the CF filter and seasonal adjustment method to Korean green onions

Abstract

AbstractThe vegetable market experiences significant price fluctuations due to the complex interplay of trend, cyclical, seasonal, and irregular factors. This study takes Korean green onions as an example and employs the Christiano–Fitzgerald filter and the CensusX‐13 seasonal adjustment methods to decompose its price into four components: trend, cyclical, seasonal and irregular fluctuations. To estimate the price volatility and forecast future prices, we apply an ARMA‐GARCH model and use various statistical measures to assess the prediction accuracy. The empirical results demonstrate the effectiveness of ARMA(1, 2)‐GARCH(1, 1) model in modeling and forecasting the seasonally adjusted price of Korean green onions. Our study provides an important reference for expanding research in the field of vegetable price fluctuations and formulating strategies for stabilizing prices. [EconLit Citations: Q11, C22, Q02].