Purpose: This study focuses on forecasting the price of the most important export crops of vegetables and fruits in Egypt from 2016 to 2030. Design/methodology/approach: The study applied generalized autoregressive conditional heteroskedasticity (GARCH) model and autoregressive integrated moving...

This paper deals with the problem of modelling the volatility of futures prices in agricultural markets. We develop a multi-factor model in which the stochastic volatility dynamics incorporate a seasonal component. In addition, a maturity dependent damping term accounts for the Samuelson effect....