Analyzing the Wheat Price Fluctuations Using GARCH, SVM and ARIMA Models

In this research the relationship between wheat prices and its volatility in a dynamic model for Iran has been studied using daily data during 2009-2011. Therefore، shocks on wheat prices and its effects on prices using GARCH، ARIMA and SVM models were studied. According to the results، price volatility recognized as a reason of wheat price changes. Comparative results show that domestic wheat price volatility is greater than the global price fluctuations. Also، the wheat price volatility in the last period is a factor volatility of the price of wheat at the present. Therefore the appropriate policies to have a dynamic market for agricultural commodities and using derivative instruments like future and option contract can control fluctuations.