Read the following PhD thesis and do predictive modeling based on chapters 6 to 12, and Canvas resources such as Time series regression, Smoothing, Arima, Garch, Arch models, judgmental forecasting, neural network, Gaussian regression. Use all your knowledge in data science and do your coding in SAS. Never trust in the result of the document and verify them if you need it.
Microsoft Word - PHD_THESIS_FINAL_Final MARKET INTEGRATION AND PRICE FORECASTING OF SELECTED AGRICULTURAL COMMODITIES A Thesis submitted in partial fulfilment of the requirements for the award of the degree of Doctor of Philosophy in Management By ROJALIN PANI REGD NO: 1681307001 Under the Guidance of DR. SAROJ KANTA BISWAL Associate Professor, Faculty of Management Sciences, Siksha ‘O’ Anusandhan (Deemed to be University) AND DR. DEBDUTT BEHURA Assistant Professor, Department of Agri Business Management, Center for Post Graduate Studies, Odisha University of Agriculture and Technology Institute of Business & Computer Studies (Faculty of Management Sciences) SIKSHA ‘O’ ANUSANDHAN UNIVERSITY Bhubaneswar-751030, Odisha, India 2020 DEDICATED TO LORD JAGANNATH CERTIFICATE This is to certify that the thesis entitled “MARKET INTEGRATION AND PRICE FORECASTING OF SELECTED AGRICULTURAL COMMODITIES” being submitted by ROJALIN PANI, (Ph.D Registration No: 1681307001) to Siksha ‘O’ Anusandhan (Deemed to be University), Bhubaneswar, Odisha, India for the award of degree of Doctor of Philosophy in Management is a bonafide research work carried out by her under my supervision. The results presented in this thesis have not been submitted elsewhere for the award of any other degree. In my opinion, the thesis work has reached the standard of fulfilling the requirements for the award of degree of Doctor of Philosophy in accordance with the regulations relating to the Ph.D degree of the Siksha ‘O’ Anusandhan (Deemed to be University). (Supervisor) DR. SAROJ KANTA BISWAL Associate Professor, Faculty of Management Sciences, Siksha ‘O’ Anusandhan (Deemed to be University) Bhubaneswar, Odisha. Date (Supervisor) DR. DEBDUTT BEHURA Assistant Professor, Department of Agri Business Management, Center for Post Graduate Studies, Odisha University of Agriculture and Technology, Bhubaneswar, Odisha. Date: APPROVAL SHEET This thesis report entitled “Market Integration and Price Forecasting of Selected Agricultural Commodities” by ROJALIN PANI, is approved for the degree of Doctor of Philosophy in Management. Examiner Examiner Examiner Date: ________________ Place: ________________ DECLARATION I, Rojalin Pani, hereby declare that the thesis submitted by me entitled, “Market Integration and Price Forecasting of Selected Agricultural Commodities”, in the fulfilment for the degree of Ph.D to Siksha O Anusandhan (Deemed to be University), Bhubaneswar, is the record of original work done by me. No part of the content of this thesis has been submitted to any institution/university for the award of any other degree. Previous works in this field have been duly acknowledged as and when they have been referred. Date: (Rojalin Pani) Place: Registration No: 1681307001 ACKNOWLEDGEMENT I take this as an opportunity to sincerely and profoundly offer my sincere gratitude to supervisor, Dr. Saroj Kanta Biswal, Associate Professor, Faculty of Management Sciences, Siksha O Anusandhan (deemed to be University), and supervisor Dr. Debdutt Behura, Assistant Professor, Department of ABM, CPGS, OUAT, Bhubaneswar for their valuable supervision and encouragement during the work. I am indebted and grateful to Prof (Dr.) Uma Shankar Mishra, Professor, Faculty of Management Sciences, Siksha O Anusandhan (Deemed to be University), whose encouragement, guidance and support from the initial to the final level enabled me to develop an understanding of the subject. I also express my profound gratitude to respected Prof. (Dr.) Manoj Ranjan Nayak, President, Siksha O Anusandhan (Deemed to be University), Bhubaneswar for his inspiration and encouragement. My heartfelt thanks to Prof (Dr.) Raj Kishore Mishra, Professor, Head of the Department of Agricultural Economics, College of Agriculture, Odisha University of Agriculture and Technology, Bhubaneswar, Odisha for his numerous support throughout this research study. My sincere thanks to all experts, producers and intermediaries participated in the study. I owe a deep sense of gratitude to my parents (both side), brother (both side), sister in-law (both side) those who have seen dream for me and made my journey easier by supporting physically and mentally. I am really thankful to my loving husband, who has always inspired me to challenge myself and helped me in every aspect of this journey. I would like to dedicate the thesis to my sweet daughter, nephew and niece. Lastly, I offer my regards to all of those who supported me in any respect in completion of the thesis. Place: Bhubaneswar Date: Signature of the Scholar ABSTRACT Purpose – In line with the on-going global and domestic reforms in agriculture and allied sectors, the Indian Government is reducing its direct market intervention and encouraging private participation based on market forces. This has led to increased exposure of agricultural produce to price and other market risks, which consequently emphasize the importance of futures markets for price discovery and price risk management. The purpose of this paper is to analyse the causal relationship between agricultural commodities among Indian states for selected agricultural commodities and forecasting commodity price for Odisha. Design/methodology/approach – Market integration and price forecasting model for 4 agricultural commodities are built and the forecasting has been done for the year 2019 by using Johansen’s Cointegration analysis, Granger causality tests and ARIMA modelling. Unit root test procedures such as Augmented Dickey-Fuller and non-parametric Phillips-Perron were initially applied to examine whether the price data series are stationary or not. The hypothesis has been tested using econometric software packages like R and Eviews. Findings – Results show that Cointegration exists significantly among Indian agricultural commodity market prices (for selected agricultural commodities). There exists causal relationship among markets i.e. price of other states affect forecast price of Odisha. Forecasting models for Cotton, Turmeric, Greengram and groundnut are selected with the help of AIC, SC, AICc, BIC criterion. Price forecasting result is found for the year 2019 and validated with MAPE and RMSE criterion and found significant. Practical implications – The results of this study are useful for various stakeholders active in Agricultural commodities markets such as producers, traders, commission agents, commodity Exchange participants, regulators and policy makers. Originality/value – There are very few studies that have explored the efficiency of the commodity futures market in India in a detailed manner, especially at individual commodity level with price forecasting. Keywords: Market integration and Causality, Price forecasting, Seasonality, Validation of model. TABLE OF CONTENTS 1. INTRODUCTION ................................................................................................................. 1 1.1. Background of the Study ................................................................................................ 1 1.2 Conceptual model and formulation of Hypothesis: ......................................................... 2 1.3: Past studies with empirical evidence: ............................................................................. 3 1.4: Research Gap: ................................................................................................................. 6 1.5: Research Problem: .......................................................................................................... 6 1.6: Objective and Hypothesis: ................................................................................