<abstract xmlns="http://www.w3.org/1999/xhtml"><p> This study explains volatility as a measure and interaction of the possible movement in a particular economic variable. Prices change rapidly in adjustment to market circumstances. Food prices hike experienced overyears has resulted in widespread menace which led to increase in food price volatility. However, volatility and co-movement had generally been lower for the past two decades than for the previous ones. Wide price movements over a short period of time connote high volatility, rendering the producers and consumers vulnerable. Excess volatility can be subjected to sector ineffectiveness and is commodity specific. Producers and processors are mostly concerned about increased price volatility, which greatly exposed them to unpredictable risks and uncertainty associated with price changes. This study examined the volatility and co-movement of food commodity prices in Nigeria using price series data on rice, maize, sorghum, cassava and yam for the period of 1966 to 2013. The data were analysed using Vector Autoregressive Model to forecast food price volatility and to examine the food commodity prices that Granger cause food price volatility in other food commodities. The GARCH regression model is used to estimate the magnitude of volatility which revealed that, food commodity prices exhibit high volatility and there is persistent increase in prices over the period of study. The Nigerian food commodity prices have experienced high fluctuations over the period; therefore, the study recommends proper storage facilities and infrastructure for the food distribution corporations in Nigeria.</p></abstract>

This study explains volatility as a measure and interaction of the possible movement in a particular economic variable. Prices change rapidly in adjustment to market circumstances. Food prices hike experienced overyears has resulted in widespread menace which led to increase in food price volatility. However, volatility and co-movement had generally been lower for the past two decades than for the previous ones. Wide price movements over a short period of time connote high volatility, rendering the producers and consumers vulnerable. Excess volatility can be subjected to sector ineffectiveness and is commodity specific. Producers and processors are mostly concerned about increased price volatility, which greatly exposed them to unpredictable risks and uncertainty associated with price changes. This study examined the volatility and co-movement of food commodity prices in Nigeria using price series data on rice, maize, sorghum, cassava and yam for the period of 1966 to 2013. The data were analysed using Vector Autoregressive Model to forecast food price volatility and to examine the food commodity prices that Granger cause food price volatility in other food commodities. The GARCH regression model is used to estimate the magnitude of volatility which revealed that, food commodity prices exhibit high volatility and there is persistent increase in prices over the period of study. The Nigerian food commodity prices have experienced high fluctuations over the period; therefore, the study recommends proper storage facilities and infrastructure for the food distribution corporations in Nigeria.

Volatility and Co‑movement: an Analysis of Food Commodity Prices in Nigeria

Agricultura Tropica et Subtropica

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

{"article-title":"Volatility and Co\u2011movement: an Analysis of Food Commodity Prices in Nigeria"}

This study explains volatility as a measure and interaction of the possible movement in a particular economic variable. Prices change rapidly in adjustment to...

Volatility and Co‑movement: an Analysis of Food Commodity Prices in Nigeria

Published Online: Jan 23, 2018

Page range: 129 - 139

Received: Sep 09, 2016

Accepted: Dec 06, 2017

DOI: https://doi.org/10.1515/ats-2017-0014

Keywords
food price volatility, co-movement, Vector Autoregressive Model

© Agricultura Tropica et Subtropica

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Volatility and Co‑movement: an Analysis of Food Commodity Prices in Nigeria

Published Online: Jan 23, 2018

Page range: 129 - 139

Received: Sep 09, 2016

Accepted: Dec 06, 2017

DOI: https://doi.org/10.1515/ats-2017-0014

Keywordsfood price volatility, co-movement, Vector Autoregressive Model

© Agricultura Tropica et Subtropica

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Keywords
food price volatility, co-movement, Vector Autoregressive Model