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Thesis submitted to the University of Agricultural Sciences, Dharwad in partial fulfilment of the requirements for the

Degree of Master of Science (Agriculture) in AGRICULTURAL STATISTICS

By R. BHARATHI

DEPARTMENT OF AGRICULTURAL STATISTICS COLLEGE OF AGRICULTURE, DHARWAD UNIVERSITY OF AGRICULTURAL SCIENCES, DHARWAD - 580 005 JUNE, 2009

ADVISORY COMMITTEE

DHARWAD JUNE, 2009

(Y. N. HAVALDAR) MAJOR ADVISOR

Approved by :

Chairman :

____________________________ (Y. N. HAVALDAR) 1. __________________________ (S. N. MEGERI) 2. __________________________ (BASAVARAJ N. BANAKAR) 3. __________________________ (B. L. PATIL) 4. __________________________ (G. M. PATIL)

Members :

CONTENTS

Sl. No. CERTIFICATE

Chapter Particulars

Page No.

ACKNOWLEDGEMENT LIST OF TABLES LIST OF FIGURES LIST OF PLATES LIST OF APPENDICES 1 2 INTRODUCTION REVIEW OF LITERATURE 2.1. Compound growth rates 2.2 Behaviour of price and arrivals 2.3. Market integration 2.4. Box-Jenkins model and its application 3 METHODLOGY 3.1 Description of the selected markets 3.2 Nature and sources of data 3.3 Analytical tools and techniques 4 RESULTS 4.1 Growth pattern in arrivals and prices of cocoon 4.2 Behaviour of arrivals and prices of cocoon 4.3 Market integration 4.4 Forecasting of arrivals and prices 5 DISCUSSION 5.1 Growth rates in arrivals and prices of cocoon 5.2 Behaviour of arrivals and prices of cocoon 5.3 Market integration 5.4 Forecasting of arrivals and prices 6 SUMMARY AND POLICY IMPLICATIONS REFERENCES APPENDICES

3 4. 3.6 4.4 4.LIST OF TABLES Table No.1 4.13 Title Computation of centered 12 month moving average Average of percentage centered 12 month moving average and computation of seasonal index for observation Tabular format of obtaining cyclical component Growth rates in arrivals and prices of cocoon from Siddlaghatta market Ramnagar and Page No.5 4.10 4.8 4. Residual analysis of Ramnagar and Siddlaghatta market Actual and Forecasted values for arrivals of cocoon in Ramnagar market Actual and Forecasted values for prices of cocoon in Ramnagar market Selected measures of predictive performance of the Box Jenkins model ACF and PACF of monthly arrivals and prices of cocoon in Siddlaghatta market Actual and Forecasted values for arrivals of cocoon in Siddlaghatta market Actual and Forecasted values for prices of cocoon in Siddlaghatta market .11 4.12 4.1 3.2 4.2 3.7 4.9 4.3 4. Seasonal indices of monthly arrivals and prices of cocoon in Ramnagar and Siddlaghatta market Correlation coefficient between quantity and price in Ramnagar and Siddlaghatta market (year wise) Correlation between arrivals and prices of cocoon in Ramnagar and Siddlaghatta market (120 months ) Concurrent deviation between Ramnagar and Siddlaghatta market ACF and PACF of monthly arrivals and prices of cocoon in Ramnagar market.

8 4.2 4.6 4.10 4.7 4.5 4.11 4.1 Seasonal indices of arrivals in Ramnagar and Siddlaghatta market Seasonal indices of prices in Ramnagar and Siddlaghatta market Trend component of arrivals of cocoon in Ramnagar market Trend component of prices of cocoon in Ramnagar market Trend component of arrivals of cocoon in Siddlaghatta market Trend component of prices of cocoon in Siddlaghatta market Cyclical trend of arrivals in Ramnagar and Siddlaghatta markets Cyclical trend of prices in Ramnagar and Siddlaghatta markets Ex-ante and ex-post forecast of cocoon arrivals in Ramnagar market Ex-ante and ex-post forecast of cocoon prices in Ramnagar market Ex-ante and ex-post forecast of cocoon arrivals in Siddlaghatta market Ex-ante and ex-post forecast of cocoon prices in Siddlaghatta market 4.3 4.9 4.12 . 4.LIST OF FIGURES Figure No Title Page No.4 4.

LIST OF PLATES Plate No Title Page No. 1 Ramnagar cocoon market 2 Siddlaghatta cocoon market 3 Display of cocoons in market yard on metal platform 4 Market officer in final price bidding LIST OF APPENDICES Appendix No Title Page No. I State wise Area and Raw Production of Mulberry Silk II Export earnings from silk items III Country wise silk export earnings .

muga and eri. silk accounts for only 0. Silk knit fabrics could contribute 5-10% to the total export of silk materials. after which worms spin cocoons. mulberry. UK.. It is literally just a continuous protein filament secreted by specific types of caterpillars commonly known as silk worms.000 million tonnes and foreign exchange earning from silk goods export is over Rs 300 crores. The annual silk production in the country is about 16.000 million tonnes with annual consumption of silk is around 26.500 crores from the country. all people from children to adults would like silk clothes. The reelers convert them into silk yarn. Export scenario USA. Silk scenario in India In global market. Italy and German were the top five countries imported Indian silk goods in value terms during the year 2007-08 and accounted for the 23. UAE.660. The endearing qualities of silk are natural sheen. These states accounts for most of the mulberry silk production in the country. (Kshama et al. about 55 % is accounted by Karnataka.245 million tonnes in 2008. Spain. Tamil nadu. Silk is associated with human happiness (i. Jammu and Kashmir. 4. Silk worm rearing is location specific. 14. West Bengal and Tamilnadu. There is demand for the Indian silk items from America.. humidity in the range of 60 to 80 % and the rainfall of about 600 mm found suitable. there are well established cocoon markets for the sale of cocoons.2 % of the total world production of all textile fibres. India is the second largest producer of silk in the world. 2008).1.2%. West Bengal.000 villages of India are involved in growing silk cocoons. etc. China and India are the leading countries in the production of silk and other materials. Andhra pradesh. as it remains most loved fibre throughout the world.91. 6. In the major silk producing states. 7.e) on festivals. Out of the total production. Mulberry silk is produced from silk worm (Bombyx mori. Scope for sericulture Sericulture being a small enterprise provides ample opportunity to reach target groups especially small and marginal farmers. a temperature ranging from 70 F to 85 F. Japan. currently worth Rs 1.L) which feeds on mulberry leaves.240.245 million tonnes.000 tonnes in 1980 to about 16. Germany. Hence it is acclaimed as the queen of textiles and also Aristocrat good.9%. marriages. The revealed silk is bought by weavers and this transaction takes place through the silk exchanges. Silkworms produce the cocoon in about 25-30 days. Japan. Karnataka ranks first in production followed by Andhra Pradesh and West Bengal with 8. Around 53. Silk production in small quantities has been widespread but it flourished only in China.4% and 5% respectively of the total export earnings (Appendix III).485. These cocoons are sold to the reelers at the regulated cocoon markets. The five traditional states where sericulture is practiced are Karnataka.00. Italy and East Europe. functions. inherent affinity for rich colours. Sericulture provides 1) employment and income generation in rural areas 2) high participation of low income and target social groups 3) good comparative advantage and growth prospects 4) potential for export earnings 5) providing a greater role for development 6) good downstream employment .893 hectares with raw silk production of 16.2%. It has the advantage of addressing simultaneously and rapidly towards several development priorities.36 million tonnes respectively (Appendix I). it was followed by Andhra pradesh. INTRODUCTION Silk is the most elegant among textiles in the world. mulberry silk is predominant and accounts for 88 % of the total natural silk produced in India. Karnataka accounts for 25% of the country’s silk export. Among them. high absorbance and light weight with high durability. The area under mulberry cultivation in India is 1. Silk production has increased from about 4. Korea. India has the unique distinction of producing all the four types of silk viz. next to China and has a 12% share in the global raw silk production. tasar.32 and 1. India and more recently in Brazil and USSR. 75 % of the Indian production was used domestically and only 25% is exported (Appendix II).

This is accentuated by the seasonal production of cocoons. devised a policy to safeguard the interests of developing countries against the influx of low priced silk and silk commodities.impact of raw silk production on the industrial sector. If price instability is reduced. The 21 congress of the International Sericultural Commission (ISC). The biggest problem in world silk economy is the prevailing price instability in cocoon st and raw silk markets. Though sericulture plays an important role in Indian economy. Hence. Our problem in the world silk economy is the prevailing price instability in the cocoon and raw silk markets. the present study is conducted with the following specific objectives. All these combined features make sericulture an attractive sector for further development. which means that there are periods when farmers and reelers have no work at all in some areas of countries. 1) To study the growth in arrivals and prices of cocoon in the selected markets 2) To study the behaviour of price of cocoon in the selected markets 3) To analyze the market integration of selected markets 4) To forecast the price of cocoon in the selected markets . the gains could be increased to considerable extent and it has a very high degree of backward and forward linkages as it encompass both agriculture and industry. there exists a serious problem of fluctuation in silk cocoon prices in markets.

Bisalaiah and Patil (1987) studied the trends of major crops in Karnataka. Tripathy and Srinivas Gowda (1993) used the exponential function to estimate and compare the district wise compound growth rates of area.22% and that for non-food grains was 2. The reasons attributed for the declaration of output growth were indiscriminate use of chemical inputs and neglect of soil health. which was higher than the all India performance. (1996) studied the compound growth rate of pulses in selected districts of Gujarat for the period 1949-91.19% respectively.78%) . the annual growth rate of production declined from 7. Thampan (1994) observed the evidence for declarations in Indian food grains production in the 1980’s.4 % between the plan periods and for wheat the decline was more from 6.8%. In the case of rice.70% annum. A linear model of the type Y = a + bt an exponential model of the type Y = t ab were used and the corresponding growth rates were worked out. bajra and pulses have expressed higher output growth rate. Surendranagar district registered the highest growth rate in area (4.05 %.1 Compound growth rates Rath (1980) examined the growth rates of agricultural production in India during 1955 to 1978. For Gujarat state as a whole. They found that ragi.56 percent per annum in seventies to 7. production and productivity of coffee in India. Mruthyujaya et al.7% and 2. Patel et al. The total agricultural production was found to grow at an average rate of 2. Box-Jenkins model and its application 2. Despite negative growth rates of yield in both decades growth rate of production had been impressive. which increased from 4.48% per year during this period. The exponential function yielded a good fit of the compound growth for coffee. The study used different trend functions to estimate the growth rates. The structural change in the growth function especially that of yield and production in almost all the district covered was apparent from the significant ‘F’ values obtained in the chow’s test. The growth rate in area and yield was 0. rice and bajra had shifted from area-cum-productivity led growth during pre-green revolution period to productivity led during the green revolution period. They concluded that productivity increase had contributed substantially to the growth in output of most of the food grains and that of agricultural output performance of Karnataka. ragi. Chengappa (1981) made a study on growth rates of area.2. the production growth rate for the study period worked out to 3. Compound growth rates 2.2 Behaviour of price and arrivals 2. (1982) compared the pace and pattern of agriculture output growth in Karnataka with that of all India.1. Growth rate for cereal production was 3.8 percent in the eighties mainly because of high rate in area increase. The trend analysis of different crops over sixth and seventh five years plan periods covering the eighties revealed that growth in production during VII plan period was much less for all the cereals and pulses compared to that during VI plan period. The output growth in case of sorghum. The available literature on the subject has been reviewed and presented under the following headings 2. REVIEW OF LITERATURE In this chapter an attempt has been made to critically review the literature of the past research work relevant to the present study.9% to 2.3.4. One of the major findings that emerged out of the study was that performance of agriculture in Karnataka was comparatively better than that of all India except in the case of sugarcane and oilseeds.8 to 5. Market integration 2. yield and production of groundnut in Orissa during the seventies (1970-71 to 1979-80) and eighties (1980-81 to 1989-90). whereas rice and sorghum had recorded lower growth rates during the period 1966-67 to 1977-78. The structural change in the growth pattern between the decades was examined employing a chow’s test.

production and yield of pulses by fitting log linear function of the form. The growth rates under quality seeds found positive in both 1981-91 (2.63 % for production. yield and production of rice.87 per cent followed by others (12.94 per cent per annum but production and productivity showed a negative growth rate. Netherland. productivity showed a negative growth rate.20 % and 1. UAE.01 percent per annum. For the same period. the growth rate was positive and statistically significant.63 per cent per annum. using an exponential growth function of the form Yt = ab e . Hong Kong and Japan for the period 1990 to 1998. area under rice increased from 1. Desai (2001) analyzed the growth rates of mango exports to five major importing countries viz.76%).and production (6. The results revealed that in Karnataka.97%). the negative growth rates was observed in all the periods under study and it was found statistically significant in 1981-91 (-3. production increased . The results of the study revealed that there was a significant growth in case of export quantity. log Y = a + bt. (2002) computed compound growth rate to examine the trends in area. Nether lands (7. The data were analyzed for three time period viz. The figure of coefficient of variation was found to be 43. The result of the study revealed that there was a significant positive growth in case of total production and exports of shrimp. The results showed that the area under black pepper increased at the rate of 3.significant. Remaining countries importing mango from India were grouped together as others..65% for area and 29.52 % per annum respectively. Vinaya (2007) used compound growth rates to find the growth in area. which showed positive and significant growth. Singh et al. The area increased at a compound growth rate of 1. there is a negative growth rate both in quantity and value. squid and ribbon fish.) 3. significant growth rates were observed with respect to area. 22.47 per cent in area while in production the state recorded a mild growth. total value and unit value of exports. But in the post liberalization period (after 1991).01 per annum.14 million hectares in 2004-05. the quantity of exports showed an increasing trend whereas the value of exports showed a declining trend. Kaur et al.22% for yield.82%). The results revealed that. Almost the same pattern of growth rates was observed in production but in case of yield. Period I (1960-61 to 1967-68) Period II (1968-69 to 1980-81) Period III (1981-82 to 1992-93) In almost all the states selected for analysis. Legesse (2000) found that during eighties wheat area showed a declining growth rate (i.. (1997) while assessing the regional variations in agricultural performance in India. The study revealed that growth rates in production and productivity of total pulses in India were found to be significant and positive.50%) and UK (5. Fresh mango exports to Japan registered a growth rate of 33.e.26%) period but it was statistically non. The production and productivity increased at 5.83%).81%) and 1992-01 (2. Dudhat (2006) computed the compound growth rates for quality seeds for the study of 1980-81 to 2000-01 in Gujarat. production and productivity of pulses. The total growth in export of fresh mango was 9. in the pre-liberalization period. estimated the compound growth rates of area. During nineties the Karnataka state recorded a significant positive growth rate of 3. squid and ribbon fish for the period from 1990 to 2000.12 million hectares during 1985-86 to 1. Shwetha (2003) computed compound growth rate for production and export of shrimp. Nisha (2004) studied the growth rate of groundnut in India from 1980-1988 and 19911994. UK. the growth rate of pulses. Varuna (2005) studied the compound growth rate in black pepper in India during 1980-81 to 2002-03. whereas in overall period (1981-01). Ashalatha (2000) studied the growth in cashew exports from India over the period t u 1956-57 to 1998-99.

Seventy two to eighty percent of the total produce arrived at the markets between November and April.59. There was a slight dip in price in the Delhi market in mid summer which may reflect the arrival of a summer crop. employing the seasonal indices method on the data from important groundnut markets of Punjab. November and April.38 million tonnes to 2. 2. His study showed on inverse relationship between the price and arrivals series.e. Kasar et al. The seasonal pattern of market arrivals and the resulting short-run instability in groundnut prices could be eliminated by using a package of measures. The index for the arrivals was the highest in the month of May at 270. The prices of groundnuts were found to be a function of market arrivals only in the short. It revealed the presence of a time trend. trend equations and coefficients of variation. when the seasonal index of arrivals of red dry chillies was low (May to September) the price index of chillies was at a very high level. A method was suggested by them to compute the adjustment lags (i. Violent seasonal fluctuations led them to conclude that production was over dependent on nature. Govardhan (1978) analysed the marketing of dry chillies in Karnataka.from 2. The annual and seasonal movement of arecanut prices was analysed by Shenoy and Ravindran (1972). storage facilities were lacking and the zonal movement policies were poorly conceived. On the other hand. Gill and Johl (1970) analyzed the seasonal patterns in the gram prices at Sirsa market for fifteen years between 1952 and 1966. In this period. During these months prices were relatively at higher level. Prices then continue to rise until peaking in September or October when existing stocks are lowest and just prior to the arrivals on the market of early potatoes in months of November and December. Gurumallappa (1972) studied the relationship between the arrivals and prices of groundnut in Raichur and found that prices were high when the arrivals were also high. The pattern of market arrivals of groundnut indicates a seasonal character. They showed that the highest percentage of produce was sold in the peak production periodOctober to January. The most rapid increase in potato prices occurs in April and May.05 and price index was at its lowest in May at 92.27 percent.21 percent. While that of red dry chillies start in May and end in September. it appears that when the seasonal index of arrivals of red wet chillies was more during December to March. prices are influenced not only by market arrivals but also by other factors such as the general rise in prices and the steady rise in demand for groundnut products.run. (1991) used the monthly time series data on market arrivals and prices of groundnuts for the period 1960/61 -1983/84 collected from the regulated markets of Gadag and Hubli to estimate indices. a 12 month cycle and a three year cycle. The study showed that the average monthly whole sale prices (of all varieties viewed) generally ruled low in the harvest season George and Govindan (1975) opined that the supply and price of many agricultural commodities follow some what regular cycles. By and large. The monthly wholesale price data of potatoes in Ahmedabad market for nine years 1996 to 1974 were subjected to Harmonic analysis. The index of seasonal price variation was at the lowest in October followed by November and reached the peak in August. (1996) studied behaviour of price and arrivals of red chillies in Maharashtra seasonal indices of arrivals of red wet chillies begin in October and end in April. the seasonal index of prices was at a low level.) the time and its impacts on arrivals corresponding to seasonal cycles were also studied. where as yield increased at the rate of 1. The arrivals of red wet chillies were maximum during December to march when the corresponding prices were relatively low.51 million tonnes at an annual compound growth rate of 2. prices were at relatively low levels. The arrivals of red wet chillies were low during October. It was cleared that potato prices typically double between the end of harvest in March and the onset of summer in July and August. Mundinamani et al.2 Behaviour of price and arrivals Kahlon and Singh (1968) studied price fluctuation in groundnut. The elasticities for short run. In the long-run. . Keith et al. (1997) examined seasonal potato price indices for two major wholesale potato markets of Delhi and Kolkata. seasonal and long run were worked out. Estimators were obtained by the method of least squares.

He employed zero order correlation coefficient analysis for analysing market integration. He found that almost every year there were periods of attack 6 to 8 weeks at strength when the terminal market (Kanpur) price was considerably in excel of the primary market price (after taking transport costs etc. the policy implication lies in encouraging the farmers to dispose their produce at the opportune time to get good remunerative prices. In the pre WTO period (1985-86 to 1994-95). The “r” values were higher in the cases of bigger markets compared to smaller markets indicating the influence of traders participation in determining the degree of market integration. Suggesting that a farmer or a trader could not be assured of profit from storage every year. In Davangere market significant and positive relationship between arrivals and prices was observed for maize. K. Yogisha (2007) computed trend in arrivals and prices of potato in Chikkaballapur. The slump was observed with 35 months indicating that the high arrivals observed in every 30 months. In case of maize. Whereas. The results shows that in the initial years potato arrivals was increasing and in the mid period it started decreasing while in the later period the arrivals again increased in all markets except Srinivaspur. Bhat (1980) studied the movement of paddy and groundnut prices in the selected market of Karnataka. he suggested a strong integration of markets in price formation indicating the influence of price in one market over the prices in other markets. decreasing trend in prices of potato in later period except Bangalore and Chintamani may be because of increased arrivals of potato to these markets. There exists an inverse relationship between seasonal indices of arrivals and prices of selected commodities. (2001) concluded that in general. Rajashekar (2005) studied the cyclic trend in arrivals and prices of vegetables for Mysore and K. prices showed an increasing trend for the selected commodities in Anakapalle regulated market of Andhra Pradesh. the import value of whole milk powder recorded increasing trend which was non significant but in post WTO period trend was decreasing non-significantly except in 1999 to 2001. The cyclical components were observed only in weekly prices for K. It requires providing finance to farmers and better storage facilities either at village level or at market level so as to spread the arrivals reasonably in the lean months of the year. 2. Mundinamani (1985) analysed the market concentrations by commission agents in the selected market of groundnut in Dharwad district. Therefore. arrivals showed mixed trend.3 Market Integration Krishnaswamy (1975) studied the behaviour of market arrivals of groundnut prices of Rajasthan.Market. Further.R.R. the stock had to be held for about eight months to secure maximum gains. Mithlesh (2006) studied the trend in dairy industry in India during pre WTO and post WTO period. into account). Significantly. Davangere market showed increasing trend in arrivals but Hubli market showed stagnant trend and both the markets showed an increasing trend in prices. Chintamani. indicated a high degree of concentration in purchase in Hubli market compared to Gadag market. there was high degree of variability from year to year in both price and arrivals.Market. the rape-seed mustard price structure using correlation coefficients technique for spatial analysis. Ejiga and Robinson (1981) analysed the market integration in terms of storage cost of cowpea in Nigeria and showed that on an average.R. Singhal (1986) studied five primary and one terminal markets in Uttar Pradesh to analyse spatially and temporally. in Hubli market non-significant and negative relationship was observed. . Punitha (2007) studied the seasonal indices and trend in arrivals and prices of maize and ground nut in Davengere market and Hubli market.Ravikumar et al. In case of price trend pattern. The author found that the top commission agents controlled about two thirds of the total quantity of groundnut handled in Hubli market and one third in Gadag market. whereas.Market cycle was smoothening with maximum cycle effects in case of 156 months. It was concluded that while the primary and terminal markets were spatially disintegrated. kolar and Srinivaspur during 1994-95 to 2004-05. He observed that the six out of eight cases studied the market arrivals were positively related to prices.

Results revealed that the silk cocoon markets in Karnataka were spatially integrated and there by price efficient. Balappa Shivaraya (2002) has made an attempt to examine the extent of price integration of onion and potato in the selected markets of North Karnataka comprising Belgaum. Prabhakara (1988) studied the market integration of two major cocoon markets in Karnataka viz. The results revealed that the tendency of the price series of both domestic and international market for tea move in-unison in the long-run confirming the law of one price (LOP). The results showed that Bangalore silk exchange prices for raw silk influenced the Varanasi market China raw silk prices within two weeks. Zero-order correlation matrix between average wholesale prices of onion clearly indicated the integration among the selected markets. This confirmed the observations made earlier that the two markets being closely integrated and spatially efficient. It was found that both the markets were highly integrated as indicated by a very high correlation coefficient of 0. Naik and Babu (1993) analyzed the prices of domestic and imported silk in important markets of India. Hence it was concluded that prices were determined spontaneously in all the markets and no specific lead. Ramnagaram and Vijayapura.601) in different markets was also significant at one per cent level. The data was collected from various secondary . Jayesh (2001) studied market integration for spices using correlation coefficient. except Bijapur with other markets. Bijapur. (1987) studied spatial integration of silk cocoon markets in Karnataka. (1988) studied spatial integration and price leadership of Ramnagaram cocoon market over other markets through Granger’s causality test. which were filtered using an ARIMA model. It was observed that co-integration proves that in the long run there is no relationship between Indian silk yarn and world indicator prices. This test was performed on the price series of fourteen markets.947 between the seasonal indices of prices (0. The results indicated higher correlation between maximum price of filature silk of Bangalore silk exchange and imported silk.8669) and Belgaum and Gulburga (0. Prabhakara (1988) analyzed price transmission between silk prices at Bangalore silk exchange and cocoon markets. However. Raichur and Hubli. (2004) studied marketing infrastructure in Himachal Pradesh and integration of the Indian apple markets. Dharwad. The estimated price transmission elasticities for Vijayapura and Ramnagaram markets were observed to be close to unity.Nagaraj et al. This is an indication of the domestic prices from that of world prices. Amitkar et al. Devaiah et al. Gulburga. It was concluded that there was a definite relationship between the raw silk prices at different markets and it was not instaneous. This kind of elasticity of price transmission between two stages of marketing is ideal. The Haugh‘s test based on cross correlation coefficient was employed to examine the dependence of prices in various silk cocoon markets with that of Ramnagaram prices. The zero order correlation matrix of prices showed a strong integration among the selected markets of kerala. Varanasi market china raw silk prices influenced the Bangalore market china raw silk prices within a week. The high correlation coefficients of prices between different markets suggested that prices of imported raw silk and domestic silk were moving together irrespective of the location of the markets and source of imports.9253). Karnataka and Tamil nadu for both pepper and cardamom. Parameshwarappa (1997) employed co integration analysis to examine whether the prices of Indian silk are integrated with the world indicator prices of silk yarn. provided the price spread is realistic and markets being price efficient. The cross correlation coefficient of the residuals of the Ramnagaram silk cocoon prices with other markets was relatively high at lag 0. the magnitude of integration was found to be higher between Belgaum and Raichur (0.8393). The markets were observed to be spatially integrated and price efficient. Mahesh (2000) studied the relationship between domestic (Kolkata) and international (London) market prices series of tea using the co-integration analysis. To examine lead lag relationship between different markets Granger causality test was conducted.9447). between Belgaum and Hubli (0. In turn. Raichur and Gulburga (0.lag relations existed between them.

Australia and Argentina using Box Jenkins models. Holt-winters and step-wise regression models. Canada. . The study revealed that Chennai. while the latter identified the stochastic components. reviewed below. Leuthold et al. For series of 50 and above the Box-Jenkins performed well. These forecasts were compared with those obtained by exponential smoothing using Theils ‘U’ inequality coefficient and concluded that forecasts with parametric modelling gave better results for the US but not for the others. The models were tested using Theils ‘U’ coefficient and the authors concluded that the econometric models yielded slightly superior forecasts. For data between 30 to 50 observations. Gangadharappa (2005) conducted a study in Bangalore. monthly data on sales of a company was used. Box and Jenkins popularized it during late sixties. 2. In this analysis. The results showed that before the improvement in Market Information System (MIS). it was concluded that although better forecasts would be obtained by econometric models yet stochastic models were less prone to error and were less expensive.4 Box-Jenkins Model and its Application A class of ARIMA (Auto Regressive Integrated Moving Average) model is called BoxJenkins model. Schmity and Walts (1970) forecasted wheat yield changes in four largest wheat exporting countries US. A distinction between econometric and the Box Jenkins models was made. Finally. Some studies which have used this modular. The adequacy of the model was tested using Box-Pierce Test. Protharo and Wallis (1976) examined the extent to which variations in a series could be explained first by a dynamic econometric model and then by ARIMA model. Chatfield and Protharo (1973) observed that the Box Jenkins procedure was not suitable for the sale forecasts with a multiplicative seasonal component. (1970) forecasted daily hog prices and daily quantities supplied by using several alternative techniques. It was stated that the former identified and measured both economic and non-economic variables affecting price and quantity. Newbold and Granger (1974) compared the forecast performance of the Box-Jenkins. The study indicated that each method had its own advantage over the others. Hassan and Hubli market during 1996-97 to 2003-04. but the method required time and skill to compute. kolar. step wise regression was better. All the selected markets are integrated with zero order of integration.sources. jowar and gram. Strong market integration was observed between Gulbarga and Raichur markets for jowar may be due to nearness of the markets. The application of these models for predicting prices of agricultural commodities is very few. The short term forecasts were found to give good results while the same was not true of long term forecasts. the Holt-winters model was suggested. Janus quotients of the forecasts showed that the model gave good results. The results indicated that for time series with less than 30 observations. Delhi and Mumbai markets were well integrated indicating existence of price diplomacy among various market were well integrated indicating existence of price dependency among various markets. Belgaum. For data with strong seasonal and long fluctuations. there was integration between Ranebennur and Raichur market. Kerur (2007) computed correlation analysis for market integration of regulated markets in Karnataka. wheat. Econometric model clearly indicated that they provided a closer estimate of behaviour of the series during the sample periods. Exponential growth model and cuddy Delia valls method and co-integrated methods were employed. which indicated that the coefficients are significant except Bangalore market. It was opined that the Box-Jenkins gave better forecast in the short–run. The correlation coefficients were calculated between the arrivals and prices of all the selected markets. Govindan (1974) used Box Jenkins model to analyze wholesale price indices of rice. a combination of Holt-winters and step wise regression was found suitable.

Indicators on the accuracy of the forecasts show that except for Grana Padana. The forecasts were made for 13 months from April 1987 to April 1988. also called Box and Jenkins models after their developers. Even though it was found to be more expensive yet the accuracy justified the cost. Further. price and trade of Indian tea by fitting ARIMA models to data on prices and production. The article demonstrates the possible usage of the Box-Jenkins methodology for the analysis of time series for agricultural commodities. Grana Padano and Pasmigiano Reggiano.Chatfield (1977) observed that the Box Jenkins approach being a valuable addition in the forecast tool bag which gave a deeper understanding of time series behaviour. is a group of models allowing the analysis of the time series with various features. a comparison is made with those resulting from naïve models do not require any estimates. Mastny (2001) used ARIMA models. especially those of one lead forecast. Achoth (1985) fitted the seasonal ARIMA model to price data of tea at Calcutta and cochin auctions to production data of Northern and Southern regions of the country and quantity of tea exports and their prices. Provolone. The time series data covers both wholesale and retail prices for butter. the production in a particular month was related both to production of the previous month as well as to the production of same month in previous years. To estimate the reliability of the forecast obtained. The results showed that most of the selected pipe pulpwood and saw timber markets in six southern US states can be evaluated using ARIMA models. (1988) attempted forecasting the prices of cocoons at Ramnagaram market by using ARIMA models. This was attributed to a possible lack of stationarity of the data. Achoth (1985) analyzed the supply. The poor sale price forecasts were found to be accurate when compared to forecast of export prices. Gorgonzola. It is suggested that forecasting future prices could aid timber producers and consumers alike in timing harvests reducing uncertaining and enhancing efficiency. The method of analysis employed is ARIMA as put forward by Box-Jenkins. By for the forecast of prices were superior to the forecasts of quantities which may be due to the predictable pattern of price behaviour. are fairly accurate. The forecasted values were observed to be close to he actual prices. some of the models fitted to the quantity series did reveal a certain degree of inadequacy which was not considered serious probably because certain cyclic pattern may not have been captured by the model. The paper contains a basic mathematical explanation of ARIMA models together with a practical illustration of a price development forecast for a selected agricultural commodity. and that short-term forecasts. Yin-Runsheng and Mins-Rs (1999) conducted timber price forecasts were univariate Auto Regression Integrated Moving Average (ARIMA) models employing the standard BoxJenkins modeling strategy by using quarterly price series Timber Mart South. Hence adoption of differencing procedure or a transformation to make the data stationary was found necessary for a better estimate of export prices. Lanciotti (1990) presented a paper that analysis of time series data of monthly prices for a group of diary products with the aim of obtaining reliable forecasts. Chengappa (1980) applied the Box Jenkins model to forecast poor sale and export auction prices of coffee. Monthly data were used and due to the distinct seasonal variation in prices. Among the price series a particular month’s price was not related to the price of the immediate previous month but significantly related to the price of same month in previous years. the ARIMA seasonal model was applied. Makridakis and Hibbon (1979) averred that accuracy of forecasts are negatively associated with the error term. He identified that the moving average model was most suitable. The forecasts of prices were superior when compared to the forecasts of quantities. The forecasts yielded reasonably good results as judged from the tests of their efficiency. The moving average models were found to be most suitable. Devaiah et al. Theils ‘U’ coefficient and mean absolute percentage error (MAPE) were suggested. Several tests to arrive at the accuracy of forecasts like mean square error (MSE). Le ARIMA forecasts are better. The forecasts from these models yielded reasonably good ex-post and ex-ante forecasts judging from the test of their efficiency. However. which was attributed to the highly structured pattern of price behaviour. .

kolar. Hassan and Hubli markets of Karnataka during 1996-97 to 2003-04. On validation of the forecast from these models. ARIMA model performed better than the other one. which yielded Box –Pierce ‘Q’ statistic which was significant and AIC was minimum. he found only two series. Punitha (2007) attempted to fit ARIMA model to forecast the values of arrivals and prices of maize and ground nut for Davengere market and Hubli market. Belgaum.Regressive Moving Average (ARIMA) for the study period of twenty five years (1980-81 to 2004-05). Satya et al. Of all the ten series. The forecasted values of groundnut arrivals and prices showed an increasing trend in Davangere market. The forecasted values of arrivals and prices of maize showed an increasing trend in both the markets. Box-Jenkins method was applied for precise forecasting of arrivals and prices of potato for the monthly data to all the selected markets. (2007) made an attempt to forecast milk production using statistical time series modeling techniques such as double exponential smoothing and Auto. but in Hubli market prices showed decreasing trend.Gangadharappa (2005) fitted ARIMA model to study the variation in arrivals and prices of potato in Bangalore. .

Gulburga.1.2 Database The data collected for the study were monthly price and arrivals of cocoon from Ramnagar and Siddlaghatta markets for ten years from the available records (i. Transaction of cocoon is by open auction. then the market officer will arrange the payment to the farmer on the same day. The market is located in kolar district which is 50 km away from Bangalore.1. 3. A brief description of the selected markets is presented below. Tumkur and Bellary. . kerala and Maharashtra for transaction. The market is showed in Plate 1. Among the reeling cocoon markets.2 Siddlaghatta market The Siddlaghatta cocoon market is second largest cocoon market in Karnataka and it was strengthened in the year 1983 under World Bank assistance. Mandya. The farmer who is a commercial silk cocoon producer will take the produce to the market and display the cocoons in the market yard on the metal bin platform in thin layer. In addition.3 Analytical tools and techniques In this section. Chitradurga. 3. If the farmer is agreeable to the price. Tamil nadu. METHODOLOGY The aim of this chapter is to provide a brief description of the materials which provide the necessary data base for the study under the following heads and to highlight the important statistical tools employed. It is showed in Plate 3. It was strengthened in the year 1984 under World Bank assistance. Bijapur and also from Andhra Pradesh and Tamil nadu. Gadag. The market is located 50 km away from Bangalore on Bangalore-Mysore highway. Chitradurga. 3. a brief description of statistical tools employed has been presented. The market officer will arrange for auctioning of cocoons and auctioning will be done in his presence. Bangalore rural.1 Description of the selected markets In Karnataka. The reelers who are the buyers assemble around the cocoon lots and assess the quality of cocoons.2 Nature and sources of data 3. some quantities of cocoons are brought from the neighbouring states like Andhra pradesh. The cocoon supply is from Chikballapur.3 Analytical tools and techniques 3.1 Ramnagar market The Ramnagar cocoon market is the largest and oldest cocoon market in India. 3.3. It is displayed in Plate 4.1. Then the cocoons are filled in pre-weighted plastic crates and taken to trolleys to weighing platform for electronic weighment. The cocoon transaction is by open auction method.e. 3.1 Description of the selected markets 3. After weighment the buyer take the possession of cocoons and make the payment at the counter. Ramnagar and Siddlaghatta market are class I markets which have been selected for the present study.) from 199899 to 2007-08. Data on monthly arrivals were recorded in million tonnes and monthly price in Rs/kg. the cocoons will be sold to the highest bidder. Reelers quote their price and when the price gets stable auctioner gives three calls and closes the bidding with the third and final call in favour of the highest bidder. out of these 14 are seed cocoon markets and remaining 42 are reeling cocoon markets. The market is showed in Plate 2. The cocoon supply to this market is from Ramnagar. Haveri. Davengere.3 Transaction of cocoons Silk cocoons are being a perishable commodity they should be sold soon after harvesting. 3. Kolar. there are 56 working cocoon markets.

Ramnagar cocoon market Plate.Plate. Siddlaghatta cocoon market .1.2.

1) x 100 The significance of the regression coefficient was tested using student’s t test. The equation (3.Irregular fluctuations Secular trend (T) Over a long period of time. in most of the situations the straight line provides the best description of trend and for longer period of time. These four types of movements are frequently found either separately or in combination in a time series. The relationship among these components is assumed to be additive or multiplicative. but the multiplicative model is the most commonly used.Secular trend S . time series is very likely to show a tendency to increase or decrease over time.Original observation at time‘t’ T . the following form of regression equation was used Yt = ab t u t Where 3.3.Time period . change in the taste of people. Often. technological advances in the field etc. The compound growth rate (g) in percentage was then computed from the relationship g = (Antilog of ln b . The main causes of seasonal variations are customs. Seasonal variation (S): The variation within a year is called as seasonal variation. There are different types of trends. In the absence of such a definite format.1) was transformed in to log linear form as follows ln Y = ln a + t ln b + ln ut The equation was estimated using ordinary least square technique. some of them are linear and some are non-linear in their form. Cyclical (C) and Irregular (I). Trend (T). 3.3. For shorter period of time. a b t ut Intercept . approximately a polynomial or a free hand curve could describe the movements.Disturbance term for the year t. Seasonal (S). the non-linear form generally provides a good description of the trend.3.Regression coefficient .2 Time series analysis Time series analysis was done to study the variations in arrivals and prices of cocoon in monthly prices and arrivals of cocoon for the period of 10 years. Ot . The factors responsible for such changes in time series are the growth of population.Dependent variable for which growth rate was estimated. which can be represented as Ot = T x C x S x I Where. climates etc. . A time series is a complex mixture of four components namely.1 Yt .1 Analysis of Growth Rates To compute the average compound growth rates of cocoon arrivals and prices. it may be possible to describe such movements with a structured mathematical model. Such seasonal components can be analyzed through harmonic analysis.Cyclical movements I .Seasonal variations C .

Market officer in final price bidding .3.4. Display of cocoons in market yard on metal platform Plate.Plate.

. Thus... A given observation is affected by episodic and accidental factors.e.Ct .. The last row in the Table 3. I t ) (Tt . In the next step of computing the seasonal index. + 2Y13 + Y14 12 Y3 + 2Y4 + 2Y5 + .. In this fashion..3. cyclical effect Ct and the irregular variation It which is due to random causes is also minimized by the process of smoothing out effect. Cyclical movements have longer duration than a year and have periodically of several years as in business cycles.Ct ) It is always expressed in terms of percentages (Column 4 of Table 3. This will lead to revise estimates of seasonal indices (St) as second interactives ones. St = = Yt (TC )t (Tt . These unknown causes act in an unpredictable manner. stabilized seasonal indices we need to employ an interactive process as under. The original observation (Yt) is divided by corresponding (St) value and then obtain the residual (TCI)t corresponding to time point t.2) The last row in the Table 3.Cyclical movements (C): Cyclical movements are fluctuations which differ from periodic movements. + 2Y14 + Y15 12 etc. a 12 month centered moving average removes a large part of fluctuation due to the seasonal effects so that what remains is mainly attributable to other sources viz.2 give estimates of seasonal index for the 12 months adjusted for their total to 1200 or averaged to 100.2. a 12 month centered moving average was calculated as follows. S t . M1 = Y1 + 2Y2 + 2Y3 + . These are also known as causal series and are affected by the unknown causes. the original series is divided by the centered moving average. changing in a random manner. 3... In this process.1). These seasonal components are next arranged month-wise for each year (Table 3.2 gives the first estimates of seasonal variations. we do not have moving average for the first six and last six months. + 2Y12 + Y13 12 M2 = M3 = Y2 + 2Y3 + 2Y4 + . which is a sequential manner for each points of time t. As a first step to estimate the seasonal index. . long term effects Tt. this affords a means of not only estimating TC effect but also estimating seasonal components. Irregular variations (I): Here the effects could be completely unpredictable. (TCI )t = Yt (TCSI )t = St St The residual series (TCI)t thus obtained is subjected to the same process of determining 12 month centered averages as done earlier to obtain better estimates for trend cycle effect viz. In order to obtain a better estimate i.1 Estimation of seasonal indices of monthly data The multiplicative model permits the estimation of each of the four components. This gives the first estimate of seasonal components St.. (TC)t. These revised estimates are next employed as above to generate a revised set of seasonal indices by dividing each observation (Yt) by the corresponding (TC)t value..

Table 3.1: Computation of centered 12 month moving average Year / Month Observations (Y) 1998 April May June July August September October December 1999 January February March April May June July August September October November December 2000 January • • 2008 Y1 Y2 Y3 Y4 Y5 Y6 Y7 Y8 M1 M2 S1 S2 Centered 12 month moving average Percent 12 month moving average Y9 Y10 Y11 Y12 Y13 Y14 Y15 Y16 Y17 Y18 Y19 Y20 Y21 • • Y M3 M4 M5 M6 M7 M8 M9 M10 M11 M12 M13 M14 M15 • • M S3 S4 S5 S6 S7 S8 S9 S10 S11 S12 S13 S14 S15 • • S .

The Friedman’s two way analysis of variance was employed to know the significant difference among months within a cycle and also between cycles. then the cyclical effect is removed from T-C components..I = T . Then trend cycle values (TC) are divided by adjusted components CI.2. it is an indication of non-existence of the cycle. two successive seasonal indices do not differ by more than five per cent i.C.Table 3. These are adjusted for cyclical indices. . as in the case of seasonal indices.S . i = j = 1. A significant difference indicates the presence of changing cyclical behaviour and non-significant difference indicates the consistency of cyclical pattern..e.2: Average of percentage centered 12 month moving average and computation of seasonal index for observation Year 1998 1999 ** ** 2008 Apr * S * * S May * S * * S Jun * S * * S July * S * * S Aug * S * * S Sep * S * * S Oct S S * * S Nov S S * * S Dec S S * * S Jan S S * * S Feb S S * * S Mar S S * * S Mean Adj. If there is any existence of cycle. However. The examination of both the graphs of trend cycle component as well as trend component will give a clear idea of the presence of cycle. This is accomplished by dividing (Yt) by corresponding (S) for time‘t’ Symbolically T .12 3. If there is similarity in these two graphs. These moving averages are arranged cycle wise..2 Estimation of cyclical indices The most commonly used method for estimating cyclical movement of time series is the residual method by eliminating the seasonal variation and trend. cyclical and irregular components. If ultimately a cycle is reflected.. then the trend cycle values are treated as pure trend values..C. This trend cycle components are plotted against time for examining cyclical behaviour. the non-similarity in the two graphs is an indication of the presence of the cycle. If no cycle is detected. Seasonal Index * * * * * * * * * * * * * * * * * * * * * * 1200 100 This interactive process is separately employed until stabilized seasonal indices are obtained i.3.2. (TCI )t = Si + S j Si × 100 ≤ 5.I S These deseasonalized data contain trend. periodicity of cycle is noted. Again moving average of length equal to periodicity of cycle is computed for eliminating cyclical behaviour.e.

These models are fitted by the principles of Least Squares. while correlating price series of two markets...2. 1 degree (straight line) : 2nd degree polynomial : 3rd degree polynomial : 4th degree polynomial 5 degree polynomial 6 degree polynomial Where.....3: Tabular format of obtaining cyclical component Months Cycle I II III IV V Mean 1 2 3 31 32 60 Total * C C C C - * C C C C - *…………. c. The polynomial model tried is shown below. of a given .C C…………...Table 3.C C…………. However..C C………….C C………….* C…………. When definite mathematical model cannot be identified to fit the trend data. d. b. f and g = the coefficient to be estimated The suitable model for data is judged based on R² (coefficient of determination) value. Yt = Trend values at time t u = Disturbance term a. then trend cycle components are treated as trend values. th th st Yt = a + bx + u Yt = a + bx + cx 2 + u Yt = a + bx + cx 2 + dx 3 + u : : : Yt = a + bx + cx 2 + dx 3 + ex 4 + u Yt = a + bx + cx 2 + dx 3 + ex 4 + fx 5 + u Yt = a + bx + cx 2 + dx 3 + ex 4 + fx 5 + gx 6 + u 3.3 Analysis of long-term movements The residuals (Tt = Yt/StCt) after eliminating seasonal effects and cyclical effects (if any) from original observations (Yt) are used to determine the trend.3...3 Relationship between two markets The most convenient and simple method for measuring the relationship between two markets is conventionally through computation of correlation coefficient between unadjusted series of two markets. e.C C…………. the orthogonal polynomial model are used to determine the long term behaviour.C C………….C C C C C C - C………….C C…………. If there is no cyclical pattern.3.C C C C C C (Row total Cyclical index (adjusted) - - - - 6000) 3.

A stochastic process is either stationary or non-stationary.(∑y)²] n n x = Prices of cocoon in selected markets y = Arrivals of cocoon in selected markets n = Number of observations The significance can be tested by‘t’ test with n-2 degrees of freedom t= r n−2 1− r 2 3. These methods have also been useful in many types of situation which involve the building of models for discrete time series and dynamic systems.(∑x)²] [∑y² . 1970). The coefficient of correlation ‘r’ was calculated using the following equation.∑x ∑y n r= —————————————— √ Where. However. because price contains trend effects also. ∑xy .1 Concurrent deviation method Concurrent deviation method used for time series data.period. the optimal forecast of future values of a time-series are determined by the stochastic model for that series. But. r = Correlation coefficient [∑x² . forecasting and control.3. The main objective in fitting this ARIMA model is to identify the stochastic process of the time series and predict the future values accurately. price series adjusted for trend is recommended as a better measure. rcd = ± ± 2c − n n c = concurrent deviate (The deviate is calculated in both the variables move in the same direction) n = N-1 Where n = total number of observations 3.3. The first thing to note is that most time series are non-stationary and the ARIMA model refer only to a stationary time .3.4 Box-Jenkins models The Box-Jenkins procedure is concerned with fitting a mixed Auto Regressive Integrated Moving Average (ARIMA) model to a given set of data. otherwise there will be a biased measure of market integration. Originally ARIMA models have been studied extensively by George Box and Gwilym Jenkins during 1968 and their names have frequently been used synonymously with general ARIMA process applied to time series analysis. It is used to find whether both variables are moving in same direction or not. Therefore. it is necessary to adjust for trend. this method was not good for lead times or for seasonal series with a large random component (Granger and Newbold. gives idea about short term fluctuation in variables. The correlation coefficient technique was adopted to assess the nature and magnitude of association between arrivals and prices of cocoon in the Ramnagar and siddlaghatta markets.

n) be the observations on Xt with density function f (xt).series. To define B.. If the observations are independent. then it can be made more nearly stationary by taking the first difference of the series. If mean changes over time (with some trend cycle pattern) and variance is not reasonably constant then series is non-stationary in both mean and variance. If a time series is not stationary.. . then f ( X 1 . Conversely a stationary process may be summed or integrated to give a non-stationary process. X 2 .. the first stage of BoxJenkins model is reducing non-stationary series xt to a stationary series Yt by taking first differences as follows.. The assumption of stationarity reduces the number of parameters in the joint probability density function of a random variable xt in the series.. Since the ARIMA models refer only to a stationary time series... if it takes a d order difference to achieve stationarity we will write. The data must be roughly horizontal along time axis.. . f n ( x n ) This implies that joint distribution is independent of historical time.3 = ( X t − X t −1 ) − ( X t −1 − X t −2 ) = X t − 2 X t −1 + X t − 2 = X t − 2 BX t + B 2 X t = 1 − 2B + B 2 X t = (1 − B) 2 X t In general. 3. . B = Backward shift operator 3.. 2.X n ) = f 1 ( x1 ) f 2 ( x 2 ). th ( ) .... . Yt = ∆X t = X t − X t −1 = X t − BX t = (1 − B )X t Where. Let Xt be a random variable and xt (where t=1. it is necessary to have a distinction between the original non-stationarity time series and its stationarity counterpart. 2.2 The backward shift operator is convenient for describing the process of differencing.. Suppose the first difference of the series doesn’t become stationary then second order differencing is done as follows Yt = ∆(∆X t ) = ∆( X t − X t −1 ) 3.1 Stationarity and non-stationarity The term stationarity meaning that the process generating the data is in equilibrium around a constant value and that the variance around the mean remains constant over time.3. Therefore.4. . such that Bi X t = X t −1 i= 1.

9 .2. d..2 Moving average process (o.4.3..4.3.2. (1 − B )d (1 − φ p B p )Yt = µ + (1 − φ p B q )et Seasonality and ARIMA models 3.. . V (et ) = et2 and Cov (ei . + φ p (Yt − p − µ ) + et 3.3. q q = Order moving average 3. Here the word integrated is confusing to many and refers to the differencing of the data series. o) If the observation Yt depends on previous observation and error term et is called auto regressive process (AR process) Yt = µ + ∅tYt-1 + ∅2Yt-2 + . If the ACF for first and higher differences (after 2-3 lags) drop abruptly to zero then it indicates the series is stationary. θi = ith moving average parameter i = 1.8 If the non-stationarity is added to a mixed ARIMA process.7 Yt = ( µ − φ1µ − . q) is implied. (Yt − µ ) = φ p (Yt − µ ) + et = φ1 (Yt −1 − µ ) + φ 2 (Yt − 2 − µ ) + .6 Note the term µ in equation (3. .3 Mixtures : ARIMA process 3. + φ p (Yt − p − µ ) + et = φ1 (Yt −1 − µ ) + φ2 (Yt − 2 − µ ) + .... + φ pYt − p + et = µ1 + φ1Yt −1 + .2. . ..... o) model will be (1 − B )2 X t = et 3. the development is as follows. + φ p Yt − p + et 3.1 Auto regressive process (p. then the general ARIMA (p.θq e(t −q) Where.4.dth order difference = (1 − B ) X t d 3...4..5 Where et is error term distributed normally with E (et ) = 0. − φ p µ ) + φ1Yt −1 + . 2. . q) If the observation Yt depends on the error term et and also on one or more previous error terms (et’s) then we have moving average (MA) process.2 Stationary time series model 3. o. Yt = µ + e t − θ1e (t −1) − θ2 e( t − 2) − . compute the auto-correlation functions (ACF) of difference series (Yt) up to 24 lags.. 3. + ∅pYt-p + et = ∅p (B) (Yt-µ) + et 3. .5) is not quite the same as the “Mean” of the Y series. d. e j ) = θ for all t (i ≠ j) In order to test the stationarity. .4 The general ARIMA (o. o.3. Rather.

2. but still there was no exact procedure for identifying the model.)s (Seasonal part of the model) s = number of periods per season The mixture of AR and MA seasonal model is ∅p (B) ∆d ∅p(Bs) ∆D xt = θq (B) .3.4.D. n-k Yt = n 1 n ∑ Yt n t =1 = Length of time period Both ACF and PACF are used as the aid in the identification of appropriate models. . (H)Q (Bs) et If Yt = ∆ ∆ xt s d d 3. This is done by examining the sample ACF (Autocorrelation function) and PACF (Partial Autocorrelation function) of differenced series Yt. . . Diagnostic checking and 4.4 Identification of models A good starting point for time series analysis is a graphical plot of the data. . . n = 1.d. 2.) (non-seasonal part of the model) (P. The sample auto correlations for k time lags can be found and denoted by rk as follows. 1.10 the model becomes an integrated model. . 1. Forecasting 3. q) of model.q. . The ARIMA notation can be extended readily to handle seasonal aspects and the general shorthand rotation is ARIMA (p.Q. There are several ways of determining the order type of process. Estimating the parameters 3. It helps to identify the presence of trends.11 = where. The main stages in setting up a Box-Jenkins forecasting model are as follows. 2. Identification 2. Before estimating the parameter (p. ˆ ρ (Y t ) = r k (Y t ) 3.Some time series exhibit perceptible periodic pattern for instance price and arrivals of Agricultural commodities usually have a seasonal pattern process then the general. . the data are not examined to decide about the model which best explains the data. C k (Yt ) C 0 (Yt ) C k (Yt ) = K t 1 n −k ∑ (Yt − Y )(Yt+k − Y ) n t =1 = 0.

n There are fundamentally two ways of getting estimates for such parameters. One of the procedures for diagnostic checking mentioned by Box-Jenkins is called over fitting i.2. it can be computed as follows. Q = n∑ rk2 k =1 m 3.14 where. ∅) t t =1 n 3. m = Maximum lag considered n=N–D N = Total number of observations rk = ACF for lag k D = Differencing And Q is distributed approximately as a Chi-square statistic with (m-p-q) degree of freedom. 3 .5 Estimation of parameters After tentatively identifying the suitable model.96 1 (n − 12) 3. 2.15 .12 where.13 Box and Pierce ‘Q’ statistic was used to check whether the auto correlations for these residuals are significantly different from zero.3. AIC ( p + q ) = {(1 + log 2π ) + n log σ 2 + 2m} 3. next step is to obtain Least Square Estimates of the parameters such that the error sum of squares is minimum. the checks should give an indication of how the model be modified. D) required to attain stationarity and the appropriate number of AR and MA parameters. a) Trail and error: Examine many different values and choose set of values that minimizes the sum of squares residual b) Interactive method: Choose a preliminary estimate and let a computer programme refine the estimate interactively.4. then it indicates that the tentatively identified model was adequate. The latter method is used in our analysis for estimating the parameters. after which further fitting and checking takes place.e. Examining ACF and PACF of residuals may show an adequacy or inadequacy of the model.2. t = 1. It can be computed as follows. S(θ. ∅) = ∑ e2 (θ. When an inadequacy is detected. But the main difficulty in the correct identification is not getting enough clues from the ACF because of inappropriate level of differencing. ± 1. The residuals of ACF and PACF considered random when all their ACF were within the limits.3. If it shows random residuals. . it is necessary to do diagnostic checking to verify that the model is adequate. using more parameters than necessary.6 Diagnostic checking After having estimated the parameters of a tentatively identified ARIMA model. The minimum Akike Information Coefficient (AIC) criterion is used to determine both the differencing order (d. 3. .3.4.

1. that et = Yt − Yt −1 3. E (et + m ) = 0 Where. if these forecast errors were autocorrelated. . m = 1.18 The errors et in model (3. Forecasts based on the model.19 E (Yt − m ) = Yt − m E (et − m ) = a t − m = Yt − m − Yt − m −1 Where. 2 . (1 − ∅B)(1 − φB)s Yt = (1 − θB)(1 − (H)s B)e t 3. It follows. .19). if need be. Yt (2). n 3. σ2 = Estimated MSE n = Number of observations m=p+q+P+Q This diagnostic checking helps us to identify the differences in the model. In practice it is very easy to compute the forecast Yt (1). The required expectations are easily found because E (Yt + m ) = Yt (m ). in particular. it can be used for forecasting.2. . The above model (3. m = 0. Suppose. .3. Yt (1) = Yt (3) = ∅Yt (2) + φYt −9 − ∅φYt −10 + 0 − θ(0) − (H)(Yt −9 − Yt −10 ) + θ(H)(Yt −10 − Yt −11 ) Because.18) are in fact that forecast errors for unit lead time.20 For instance. ˆ E (et +1) = 0.7 Forecasting After satisfying about the adequacy of the fitted model.Where. n 3. .17). recursively using the forecast function (3. so that the model could be subjected to modification. Yt (3) = 0 Yt (2) The forecast Yt (2) can be obtained in a similar way in terms of Yt (1) from E (Yt+2). 3 .4. Similarly Yt (1) can be obtained from E (Yt+1). then it could be possible to forecast the next forecast error in which case it could not be optimal. .17 Given data upto time‘t’ the optional forecast of Y (also called Ex-Ante forecast) model at the time t is the conditional expectation of Yt+1.16 were computed for upto 36 months (m) ahead. Yt+1 = Yt+3 = ∅Yt + 2 + φYt −9 − ∅φYt −10 + e t +13 − θe t − 2 − (H)e t −9 + θ(H)e t −10 taking conditional expectations at time t. That for an optimal forecast these ‘one step ahead’ forecast errors ought to form an uncorrelated series is otherwise obvious. E (et −1 ) = Yt −1 − Yt −1 = et −1 i. . 2. 3. Yt (3) etc.e.16) gives the forecasting equation is Yt = ∅Yt −1 + φYt −12 − ∅φYt −13 + e t − θe t −1 − (H)e t −12 + θ(H)e t −13 3. to determine the three month ahead (1-3) forecast for series Yt (use equation 3.

using these methods. Ex-post forecasts can also be calculated for comparing with the value actually realized.19. The accuracy of forecasts for both Ex-ante and Ex-post were tested using the following tests (Markidakis and Hibbon. However. Xt = Actual values 1 n ∑ n t =1 ˆ (X t − X t )2 × 100 Xt ˆ X t = Predicted values . Xt = Actual values ˆ ( X t − X t )2 ˆ X t = Predicted values 2) Mean average percentage error (MAPE): The formula for this is MAPE = Where. the formula for computing MSE is 1 n MSE = ∑ n t =1 Where. 1) Mean square error (MSE).18 and 3. 1979).E(Yt +1 ) = E(Yt +1 − 1 + Q t +1 − e t +1 − 1) − θe t +1 − 1 − (H)e t +1 − 12 + θ(H)e t +1 − 13 and using 3.

1.2 and Fig 4.2 Behaviour of arrivals and prices of cocoon 4. The highest arrivals indices are noticed in the month of March (139.2 Seasonal indices of cocoon arrivals and prices in Siddlaghatta market The seasonal indices of arrivals and prices of cocoon in Siddlaghatta market have been presented in Table 4.2. The trend equation is in the form of .1 Secular trend in arrivals of cocoon in Ramnagar market In order to determine the nature of trend movement in the arrivals of cocoon in Ramnagar market.94 million tonnes during the year 2007-08. 4. with a significant compound growth rate of 0.2 4.97) and June (85.1 Seasonal indices of cocoon arrivals and prices in Ramnagar market The seasonal indices of arrivals and prices of cocoon in Ramnagar market are presented in the Table 4.00) and November (104.23) and October (86.1.2 Growth pattern in arrivals and prices of cocoon in Siddlaghatta market The total arrivals in cocoon have reached about 14.1.74) and November (105.45).2.017 (Table 4.2 and Fig 4.1 Growth pattern in arrivals and prices of cocoon in Ramnagar market The total arrivals in cocoon have reached about 11.1 and Fig 4.63) and April (91.2. The multiple coefficient of determination (R²) value obtained is 69 per cent.058. the data collected on the arrivals and prices of cocoon in Ramnagar and Siddlaghatta market have been subjected to various statistical methods as outlined in the materials and methods. 4.1 Growth pattern in arrivals and prices of cocoon Detailed analysis of growth pattern in arrivals and prices of cocoon in study markets is presented as under 4.389.84) and September (95.23) and June (110. The lowest indices are obtained in the month of November (86.38).1).2.1 and Fig 4. But the value of cocoon recorded a negative compound growth rate of -0. 4.034.007 (Table 4.84 million tonnes during 2007-08. the highest price indices are noticed in the month of April (110.97) respectively.69). But the value of cocoon recorded a negative compound growth rate of -0. RESULTS Keeping in view of the specific objectives of the present study.1 Growth pattern in arrivals and prices of cocoon 4.1.53) and January (106. 4.2 Secular trend in arrivals and prices of cocoon in selected markets 4.72). The lowest arrivals are obtained in the month of August (84.3 Market integration 4.4 Forecasting of arrivals and prices 4. The lowest indices are recorded in the month of October (90.1 Seasonal indices of cocoon arrivals and prices in selected markets Seasonal indices of market arrivals and prices of cocoon in Ramnagar and Siddlaghatta markets are presented in Table 4.141. 4.2.1).2 Behaviour of arrivals and prices of cocoon 4. As far as the price indices of cocoon are concerned.19).2. The highest arrivals indices are observed in the month of March (125.2. The results are reported in this chapter under the following headings.10). with a significant compound growth rate of 0.2.96) respectively. As far as the price indices of cocoon are concerned. the data is fitted to sixth degree polynomial equation.4. The lowest arrivals are recorded in the month of April (84. the highest price indices are observed in the month of February (109.

00 Prices 110.23 107.38 109.058* -0.73 95.30 102.69 104.74 1200.45 94.02 106.15 97.007 0.29 96.97 95.1: Growth rates in arrivals and prices of cocoon from Ramnagar and Siddlaghatta market Description Compound Growth Rate (%) Ramnagar Arrivals Prices Siddlaghatta Arrivals Prices * Significant at 5% level 0.06 106.67 92.84 104.32 1200.00 1199.38 105.96 139.12 99.141* -0.10 107.Table 4.72 96.86 104.03 98.32 105.39 105.72 94.04 98.58 125.97 86.95 98.9 6 90.99 .75 84.59 98.51 101.98 97.2: Seasonal indices of monthly arrivals and prices of cocoon in Ramnagar and Siddlaghatta market Months Ramnagar market Arrivals Prices 100.84 97.92 99.95 1200.00 April May June July August September October November December January February March Total 91.63 103.11 110.19 100.23 91.017 Table 4.99 86.82 85.72 95.00 Siddlaghatta market Arrivals 84.52 98.77 94.51 95.

Fig.4.2 Seasonal indices of prices in Ramnagar and Siddlaghatta market .1 seasonal indices of arrivals in Ramnagar and siddlaghatta market Fig.4.

The trend equation is in the form of Y = 19. n 2 3 4 5 6 It could be seen from the above that. the data is fitted to sixth degree polynomial equation.2.3097x + 0. The multiple coefficient of determination (R²) value obtained is 92 per cent.4639x – 0. 4.3 Secular trend in arrivals of cocoon in Siddlaghatta market In order to determine the nature of trend movement in the arrivals of cocoon in Siddlaghatta market.2. 1. 2 .5859x -0. Y = Predicted value of trend at time x X = Years x=0. . The graph of the trend in arrivals over the years is shown in Fig. . 4. .2. .1949x . 4. . 2 3 4 5 6 . x = 0. 1. the arrivals of cocoon showed an increasing trend over the years.074x+17.456 – 2. .688x . ..208x+13. .8724x + 0.7 and Fig 4.009x Where. 2 . 1.4. The trend equation is in the form of Y = 177.4.0006x -8E-06x Where. Y = Predicted value of trend at time x X = Years where x = 0.0223x +0.0357x + 0. .Y = 158.29. . the data is fitted to sixth degree polynomial equation. The multiple coefficient of determination value obtained is (R²) 77 per cent.507x +3. .624x +0.04 .503 + 1. n The price of cocoon displayed a trend equation with ups and downs over the years. 2 .2.2. It could be seen from the figure that there is no cycles in arrivals and prices of cocoon in both Ramnagar and Siddlaghatta markets.0012x -3E-05x Where.5. . The multiple coefficient of determination (R²) value obtained is 69 per cent. 4..6. . . The graph of the trend in the prices of cocoon over the years is shown in Fig. 4. 4.0259x – 0. n 2 3 4 5 6 The price of cocoon displayed trend equation with ups and downs over the years. n 2 3 4 5 6 It could be seen from the above equation that the arrivals of cocoon displayed shows an increasing trend over the years.2.0.5411x . 2.3.91-21.2 Secular trend in prices of cocoon in Ramnagar market In order to determine the nature of trend movement in the prices of cocoon in Ramnagar market. Y = Predicted value of trend at time x X = Years. . The graph of the trend in arrivals over the years is shown in Fig.3 Cyclical trend in arrivals and prices of cocoon in selected markets The cyclical trend in arrivals and prices of cocoon are presented from Fig. the data is fitted to sixth degree polynomial equation. . Y = Predicted value of trend at time x X = Years.0008x Where.3279x -0. .. The trend equation is in the form of Y = 22. The graph of the trend in prices over the years is shown in Fig. .4 Secular trend in prices of cocoon in Siddlaghatta market In order to determine the nature of trend movement in the prices of cocoon in Siddlaghatta market.0.0361x + 0.4. 4. x = 0.2.8. 1.8039x + 0. 4.7678x +1.

3 Trend component of arrivals of cocoon in Ramnagar market Fig.Fig.4.4.4 Trend component of prices of cocoon in Ramnagar market .

4.Fig.4.5 Trend component of arrivals of cocoon in Siddlaghatta market Fig.6 Trend component of prices of cocoon in Siddlaghatta market .

Cyclical trend of arrivals in Ramnagar and Siddlaghatta markets Fig.4.8 Cyclical trend of prices in Ramnagar and Siddlaghatta markets .4.Fig.7.

But in case of Siddlaghatta market. It indicates all the years have negative correlation in both markets. the correlation coefficient is negative but significant indicating that the increase in arrivals of cocoon results in decrease in the price.4. finally model (1.3 Diagnostic checking Residual analysis is carried out to check the adequacy of the models. the series is found to be stationary. S(φ .1Correlation between arrivals and prices of cocoon in selected markets The correlation coefficients are computed to ascertain the pattern of association between market arrivals and prices of cocoon in selected markets. The adequacy of the model is judged based on the values of Box-Pierce Q statistics and AIC (Beenstock and Bansali. the absence of peak at first values clearly indicate suitability of the choice of non-seasonal difference d=1.4.4 Forecasting of arrivals and prices As Box-Jenkins model is preferred to the multiplicative time series model for forecasting purposes. Such that the error sum of square is to be minimum. However. The model (1. 1981).0) (1.1.4. Hence.1.2 Estimation of parameters After identifying the models tentatively the next step is to obtain the estimates by the method of Least Squares Estimates of the parameters φ and θ for both the markets. i.7. 4. 4.4. The correlation for ten years (120 months) is provided in Table 4.2 Concurrent deviation between Ramnagar and Siddlaghatta market Concurrent deviation is computed to know about short term fluctuation in arrivals and prices. The computed value of ACF and PACF of Ramnagar market are shown in Table 4.1.3. Further. since the coefficient dropped to zero after the first or second lag. The Table 4.1. 4. It also helps to find whether both variables are moving in same direction or not. The year wise correlation between arrival and price in both markets are provided in Table 3. The residuals of ACF and PACF are obtained from the tentatively identified model.1. It shows that there is a negative and non-significant relationship between the arrivals and prices of cocoon in Ramnagar market. The correlation coefficient between arrivals and prices of cocoon in Ramnagar and Siddlaghatta market during the study period are presented in Table 4. 4.1) is identified for prices of cocoon in Ramnagar market.1.3 Market integration 4. 4.4.1.1.1.4. The values of the statistics are shown in Table 4.3. It is used for forecasting of arrivals and prices of cocoon in the selected markets. The results are presented below. θ) = et² (φ .4. θ) The parameters of the tentatively identified models are estimated by an iterative process and then the residual of each of the models is to be estimated.3. Similarly there is a positive relationship between prices of Ramnagar and Siddlaghatta market. An examination of the ACF and PACF revealed seasonality. based on ACF and PACF many models are tried.1) .1 Arrivals and prices of cocoon in Ramnagar market The detailed analysis of forecasting of arrivals and prices of cocoon in Ramnagar market has been presented as under.3 and 4.1 Identification of the model The tentative models are first identified based on the Auto Correlation Function (ACF) and Partial Auto Correlation Function (PACF) for the different series Yt for selected markets.1) is tentatively identified for arrivals and model (0.6 up to 30 lags.5 indicates that there is a positive relationship between the arrivals of Ramnagar and Siddlaghatta market.1) (2.3) (1. to accomplish stationarity series. Each individual coefficient of ACF and PACF are tested for their significance using‘t’ test.e. 4.

621* 2007-2008 -0.0) (1.255 1999-2000 -0.1. Table 4.546 2002-2003 -0.is found to be the best model for arrivals and for prices.123 -0.221 -0.181 -0.332 2000-2001 -0.388 2003-2004 -0.413 -0.339 -0.1.512 -0.662* -0.704* 2005-2006 -0.3: Correlation coefficient between quantity and price in Ramnagar and Siddlaghatta market (year wise) Year Ramnagar Siddlaghatta 1998-1999 -0.649* -0.05 level ** Correlation is significant at the 0.404 0.067 2001-2002 -0.1) is found to be the best as it had the lowest estimate for AIC and Q statistics.054 2006-2007 -0.726** * Correlation is significant at the 0.01 level NS – non-significant .407 -0.020 2004-2005 -0. the model (0.

557 .05 level NS – non-significant Table 4.615 Prices 0.116 NS Ramnagar Siddlaghatta -0.197* * Correlation is significant at the 0.5: Concurrent deviation between Ramnagar and Siddlaghatta market Variables Values Arrivals 0.4: Correlation between arrivals and prices of cocoon in Ramnagar and Siddlaghatta market (120 months) Market Correlation -0.Table 4.

097 -0.261 0.052 -0.047 -0.004 0.092 0.068 -0.125 -0.030 -0.160 0.028 -0.251 -0.048 0.064 -0.150 0.010 -0.009 -0.053 -0.005 ACF -0.136 0.024 0.125 0.104 0.030 -0.167 0.081 PACF -0. Arrivals Lags 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 ACF -0.017 Prices PACF -0.090 -0.043 -0.123 -0.120 0.167 -0.079 -0.031 -0.080 0.009 -0.039 0.142 -0.074 0.065 -0.139 0.087 0.104 0.134 -0.038 -0.000 -0.006 -0.022 0.058 0.097 -0.014 -0.027 -0.008 -0.091 -0.050 -0.054 0.117 0.020 0.200 -0.088 -0.002 0.083 0.039 -0.142 -0.049 0.6: ACF and PACF of monthly arrivals and prices of cocoon in Ramnagar market.044 -0.047 -0.007 0.063 -0.Table 4.054 0.027 -0.009 0.005 -0.089 -0.099 0.070 -0.012 0.002 0.045 .208 0.234 0.001 0.050 -0.107 0.023 -0.148 0.042 0.064 -0.001 -0.163 0.021 0.039 -0.019 0.030 -0.109 -0.023 -0.099 -0.096 -0.086 -0.015 0.121 -0.006 -0.083 -0.200 -0.001 -0.124 -0.004 -0.210 0.096 0.081 -0.109 -0.016 -0.041 0.045 -0.060 -0.066 -0.175 -0.092 -0.165 -0.039 -0.

48 768.16 847.1.75 38 May-01 847.7: Residual analysis of Ramnagar and Siddlaghatta market Market Model AIC Box Pierce Q statistic Ramnagar Arrivals Prices Siddlaghatta Arrivals Prices (2.63 65 Aug-03 696.66 808.33 63 Jun-03 416.75 78 Sep-04 905. Months 1 Apr-98 644.31 794.47 910.24 .59 927.33 622. 45 Dec-01 597.6 704.17 9 Dec-98 1021.81 1144.62 .63 14 May-99 770.97 68 Nov-03 923.36 824.15 59 Feb-03 665.73 765.32 10 Jan-99 974.42 22 Jan-00 664.26 1004.3) (1.92 762.1.41 779.97 784.8: Actual and Forecasted values for arrivals of cocoon in Ramnagar market Sl.34 20 Nov-99 828.39 5 Aug-98 863.38 75 Jun-04 833.41 554.59 833.1.58 3 Jun-98 685.11 426.46 789. Months Sl.34 13 Apr-99 755.3 975.61 23 Feb-00 889.23 .43 728.23 74 May-04 756. 52 Jul-02 917.74 .57 .0) (1.08 76 Jul-04 806.94 .61 77 Aug-04 798.3 66 Sep-03 890.13 8 Nov-98 837.65 7 Oct-98 909.95 877.1) (0.58 .79 11 Feb-99 941.71 796.37 67 Oct-03 802.07 844.11 858.02 6 Sep-98 957.1 24 Mar-00 1149.35 913.11 642.02 382.06 .59 9.34 19 Oct-99 647.73 53 Aug-02 633. 42 Sep-01 833.77 62 May-03 593.47 30 Sep-00 788. 46 Jan-02 926.57 835.3 891.03 971.52 .1 844.88 72 Mar-04 918.03 18 Sep-99 801.15 58 Jan-03 562.17 61 Apr-03 561.07 897.58 33 Dec-00 922.49 611.27 69 Dec-03 824.1) 546.3 .31 622.1.48 946.03 .02 674.1.1) (0.16 2 May-98 675.67 784. 47 Feb-02 1149. 50 May-02 902.21 802.77 57 Dec-02 976.08 517.9 637.32 26 May-00 879.75 883.37 37 Apr-01 766.28 915.06 1409 55 Oct-02 752.11 505.71 .1.46 56 Nov-02 959.93 17 Aug-99 609. 40 Jul-01 786.94 558.48 1051.86 28 Jul-00 729.59 39 Jun-01 894.47 34 Jan-01 944.81 .06 889.1) (1. 44 Nov-01 935.3 36 Mar-01 1524.95 31 Oct-00 860.59 35 Feb-01 922.53 21 Dec-99 1015.31 Table 4. 43 Oct-01 791. 48 Mar-02 1597.7 .66 54 Sep-02 729.67 (1.88 921.59 70 Jan-04 769.29 60 Mar-03 866.93 1395.94 784.66 16 Jul-99 797.49 29 Aug-00 501.55 27 Jun-00 806.74 15.40 424.77 774. 51 Jun-02 818.1.08 947.1.23 16. Actual Forecasted Actual Forecasted value value value value No.8 4 Jul-98 1134.96 25 Apr-00 822.18 752 32 Nov-00 779.0) (1.02 360.6 710. 41 Aug-01 751.Table 4.46 12 Mar-99 1667.5 427.88 850.73 15 Jun-99 1056.18 580.48 1272.96 937. No.1 999.09 1461.74 64 Jul-03 604.39 619.48 73 Apr-04 551.23 20. 49 Apr-02 1012.1) 561.16 715.27 1582.4 71 Feb-04 650.

75 1093.83 849.02 .59 754.6 900.26 841.05 803. . .6 1099.25 1027.41 853.04 Sl.1 822. .49 1065.Table 4. .44 898.47 611. .21 . .3 1184. 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 Months Jan-08 Feb-08 Mar-08 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Actual value 763.44 983.22 831. .18 1223.25 680.45 881.04 778.13 956.49 1227.27 1036.2 936. No. .97 1128.64 1118.32 867.05 790.46 838.09 849. .55 1100.79 879. .37 811.39 935.91 795.21 1130.17 850. 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 Months Oct-04 Nov-04 Dec-04 Jan-05 Feb-05 Mar-05 Apr-05 May-05 Jun-05 Jul-05 Aug-05 Sep-05 Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Actual value 887.09 1149.28 721. . .09 895.7 856. .7 731.54 1013.68 779.94 1160.82 750.91 763.98 835.28 1182.36 823.69 930.41 770.8: Contd.11 995.99 829.6 1343. .62 795.16 887.69 Forecasted value 806.43 1036.85 775.96 1368.66 907.61 816.53 1036.56 792. .95 781.06 678.98 1190.17 907.31 768.29 1084. .86 770.25 721.54 861.24 1001.25 733. .21 1138.69 807.44 1368. . . . Forecasted value 761.89 1140.2 829.38 856.72 746.04 928.06 1068. . . No.86 948. .06 772.57 819.34 1003.28 964. .47 871.42 1125.14 1078. . .32 731.95 903.86 845.95 1135. . .81 846.22 1146.64 1070. .49 811. .01 931.39 1137. .47 973. .67 730. .03 959. .48 954.12 980. .15 1135..2 986.98 994.22 1054.28 809. Sl.5 839.55 1025.19 1112.04 1291.

95 130. .23 139.84 104.97 119.97 108. .69 111.87 164.83 124.28 71. No. 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 Months Jul-01 Aug-01 Sep-01 Oct-01 Nov-01 Dec-01 Jan-02 Feb-02 Mar-02 Apr-02 May-02 Jun-02 Jul-02 Aug-02 Sep-02 Oct-02 Nov-02 Dec-02 Jan-03 Feb-03 Mar-03 Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Apr-04 May-04 Jun-04 Jul-04 Aug-04 Sep-04 Actual value 140 140 123 108 122 139 127 116 108 108 95 90 95 91 88 86 85 78 100 108 100 107 113 135 142 133 131 128 131 123 125 135 132 134 120 111 104 112 99 Forecasted value 132.46 75 103.79 120. No.45 109.36 137.97 136.03 135.91 137.41 94.97 121. .28 106.51 129. . . .97 122.1 126. .4 124.05 . .Table 4.97 108.04 135.29 90.99 142.4 144.85 Sl.17 127.3 110.94 140.92 127.83 129.91 122.82 93.67 153.78 96.35 112.58 87.02 97.41 132.19 113 102.97 127.97 107.9: Actual and Forecasted values for prices of cocoon in Ramnagar market Sl.55 115.77 124. 122.95 114. 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 Months Apr-98 May-98 Jun-98 Jul-98 Aug-98 Sep-98 Oct-98 Nov-98 Dec-98 Jan-99 Feb-99 Mar-99 Apr-99 May-99 Jun-99 Jul-99 Aug-99 Sep-99 Oct-99 Nov-99 Dec-99 Jan-00 Feb-00 Mar-00 Apr-00 May-00 Jun-00 Jul-00 Aug-00 Sep-00 Oct-00 Nov-00 Dec-00 Jan-01 Feb-01 Mar-01 Apr-01 May-01 Jun-01 Actual value 132 136 142 123 110 123 112 125 137 131 131 118 119 117 107 115 124 120 107 116 114 122 122 114 118 127 125 126 140 139 127 160 152 140 141 113 126 132 136 Forecasted value .69 89.31 98.1 122. .33 135.97 118.88 129.97 114.42 124.98 143.97 101. . .97 87. .62 120 124.5 142.

. .63 132. .02 100. .32 116 109.86 123. .43 123.7 94. No.11 82.17 122. . . . .77 117. .8 88. . . .39 74. .64 Sl.52 113.07 95.28 99.79 99. .32 178. .08 88. .86 101.32 . 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 Months Oct-04 Nov-04 Dec-04 Jan-05 Feb-05 Mar-05 Apr-05 May-05 Jun-05 Jul-05 Aug-05 Sep-05 Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Actual value 103 100 121 123 132 128 124 125 121 112 123 111 109 128 164 175 186 140 137 119 125 111 124 126 117 107 135 128 135 131 128 122 129 111 114 104 92 109 123 Forecasted value 90.96 142.65 105. .01 103.95 94.77 97.1 87.9 : Contd… Sl.47 122. . .79 103.36 87.42 94.32 116.46 81.49 110. .66 176.91 106. No.46 133.19 93.5 96.7 125.14 114. .05 80.03 89.66 108.47 83.25 96.82 122. 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 Months Jan-08 Feb-08 Mar-08 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Actual value 122 124 106 . .06 96.4 138.22 124.78 120. . .23 121. .48 132.05 118.Table 4.6 165.23 120.13 103.87 113. .23 121.25 90.2 117. Forecasted value 123. .3 135.46 88.47 109.93 117.17 125.6 118.78 112.25 132.28 101.64 99. . . .24 109.99 127.49 86. . .23 98 97.96 127. . .32 93.

92 Siddlaghatta Arrivals 622.54 11.56 180.88 14.75 Prices 52.67 171.47 Prices 50.10: Selected measures of predictive performance of Box-Jenkins model MSE MAPE Ramnagar Arrivals 452.Table 4.04 .

9. Ex-ante and ex-post forecast of cocoon prices in Ramnagar market .4. Ex-ante and ex-post forecast of cocoon arrivals in Ramnagar market Fig.4.10.Fig.

1.9. the series is found to be stationary. Each individual coefficient of ACF and PACF are tested for their significance using ‘t’ test. 4. The model (2.1) is found to be the best model for arrivals in Siddlaghatta market and the model (0.10. 4. θ) = et² (φ . based on ACF and PACF many models are tried. 4. However. to accomplish stationarity series.2.1.1. since the coefficient dropped to zero after the first or second lag. i. The values MSE and MAPE are presented in Table 4.4.1) is tentatively identified for arrivals and (0. The adequacy of the model is judged based on the values of Box-Pierce Q statistics and AIC.4.1 Identification of the model The tentative models are first identified based on the Auto Correlation Function (ACF) and Partial Auto Correlation Function (PACF) for the different series Yt for selected markets. finally model (2. since it had the least statistic for AIC and Q statistics.e.2 Estimation of parameters After identifying the models tentatively the next step is to obtain the estimates by the method of Least Squares Estimates of the parameters φ and θ for both the markets.1. .1) (1.4 Forecasting the arrivals and prices of cocoon in Ramnagar market The method of forecasting has been explained in detail in chapter 3. Forecasted values of arrivals showed an increasing trend and prices showed decreasing trend in Siddlaghatta market. Hence. Forecasted values of arrivals showed an increasing trend and prices showed decreasing trend in Ramnagar market.1) models for prices in Siddlaghatta market. Both Ex-ante and Ex-post forecast are done and it is compared with actual values of observations.10.1.1. 4.2.13.2.0) (1.4.10.2 Arrivals and Prices of cocoon in Siddlaghatta market The detailed analysis of forecasting of arrivals and prices of cocoon in Siddlaghatta market has been presented as under.12 to 4. The residuals of ACF and PACF are obtained from the tentatively identified model.7.8 and 4. The accuracy of forecasts for both Ex-ante and Ex-post are tested using MSE and MAPE tests. The results of Ex-ante and Ex-post forecast of arrivals and prices of cocoon in Ramnagar market is shown in Tables 4.1) (1.4 Forecasting the arrivals and prices of cocoon in Siddlaghatta market The method of forecasting has been explained in detail in chapter 3. Further. θ) The parameters of the tentatively identified models are estimated by an iterative process and then the residual of each of the models is to be estimated.4.4. 4. The results of Ex-ante and Ex-post forecast of arrivals and prices of cocoon in Siddlaghatta market is shown in Tables 4.1. The forecasts are also depicted in the Fig. The accuracy of forecasts for both Ex-ante and Expost are tested using MSE and MAPE tests. Both Ex-ante and Ex-post forecast are done and it is compared with actual values of observations. The values MSE and MAPE are presented in Table 4. 4.11 and 4.2.3 Diagnostic checking Residual analysis is carried out to check the adequacy of the models. the absence of peak at first values clearly indicate suitability of the choice of non-seasonal difference d=1. S(φ .4. An examination of the ACF and PACF revealed seasonality.1. The forecast is done up to March 2011. which are found to be least.9 and Fig 4. The forecast is done up to March 2011. which are found to be least. Such that the error sum of square is to be minimum.12.11 up to 30 lags. 4.4.1. The values of the statistics are shown in Table 4.0) (1. The computed value of ACF and PACF of Siddlaghatta market is shown in Table 4.1) is found to be the best model for prices. The forecasts are also depicted in the Fig.

03 0.08 0.04 0.002 0.02 0.006 0.01 0.09 0.084 0.01 -0.002 -0.06 0.10 -0.00 0.00 0.007 -0.01 -0.07 0.03 0.032 0.184 0.06 -0.00 0.169 0.011 0.042 -0.051 0.063 -0.01 0.11: ACF and PACF of monthly arrivals and prices of cocoon in Siddlaghatta market Arrivals ACF -0.01 0.054 -0.08 -0.164 -0.018 0.02 0.099 0.04 -0.025 -0.031 -0.082 -0.03 0.102 0.076 -0.04 0.07 -0.107 -0.01 0.07 0.066 0.021 -0.048 PACF -0.088 0.01 0.040 -0.011 -0.101 -0.033 0.11 0.10 0.055 -0.136 0.059 -0.04 0.03 0.11 0.02 0.02 0.12 -0.016 -0.053 0.036 -0.030 0.12 -0.02 0.029 0.028 0.07 0.00 Prices PACF -0.011 -0.08 -0.03 ACF -0.01 0.01 -0.024 -0.10 -0.049 0.069 -0.07 0.08 -0.116 -0.005 0.00 -0.022 0.004 -0.02 -0.164 -0.04 -0.178 0.037 0.101 -0.04 0.188 0.035 Lags 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 .133 -0.01 0.02 0.10 0.042 0.009 -0.149 -0.03 0.007 -0.01 0.10 -0.09 -0.02 0.Table 4.055 -0.11 0.034 -0.02 -0.

97 1091.94 541.94 1021.06 1273.86 880.97 1050.08 815.84 544. . . .82 1132.02 981.12: Actual and Forecasted values for arrivals of cocoon in Siddlaghatta market Sl.25 973.57 560.54 980.71 1118.24 645. .4 1134. .51 1508.23 936.38 1127.37 1014.07 922.32 1050.54 1161.73 769.8 689.99 Forecast value 917.86 985.8 1319 934.25 797.76 835.77 790. .15 925.77 1176.51 853.88 884.9 702.38 898. No.14 761.24 784. .08 .15 930.94 841.12 754. .65 842.05 1120.18 1064.64 968 602.16 702.51 960.25 963.07 1004 1038.52 873.77 957.29 900.13 925.02 1043.07 799.65 793.24 759.97 796.78 870.13 877.65 817.79 967.21 680.69 1127.87 1126.32 968.47 954.76 941.83 908.75 972.25 729.32 711.9 960.24 668.19 787.66 1027.13 1022.86 1010.37 939. .11 790.51 1237. 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 Months Jul-01 Aug-01 Sep-01 Oct-01 Nov-01 Dec-01 Jan-02 Feb-02 Mar-02 Apr-02 May-02 Jun-02 Jul-02 Aug-02 Sep-02 Oct-02 Nov-02 Dec-02 Jan-03 Feb-03 Mar-03 Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Apr-04 May-04 Jun-04 Jul-04 Aug-04 Sep-04 Actual value 715.88 793.89 871.28 1369.11 890.73 917.38 751.54 893.04 433.1 1008. 1051.7 1514.92 713.43 921.28 1036.05 870.88 Sl.47 914.21 822.75 635.63 981.72 716.62 996. No.13 1035.32 762.86 566. . 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 Months Apr-98 May-98 Jun-98 Jul-98 Aug-98 Sep-98 Oct-98 Nov-98 Dec-98 Jan-99 Feb-99 Mar-99 Apr-99 May-99 Jun-99 Jul-99 Aug-99 Sep-99 Oct-99 Nov-99 Dec-99 Jan-00 Feb-00 Mar-00 Apr-00 May-00 Jun-00 Jul-00 Aug-00 Sep-00 Oct-00 Nov-00 Dec-00 Jan-01 Feb-01 Mar-01 Apr-01 May-01 Jun-01 Actual value 517.07 1246.49 867.99 1035. .43 773.19 1063.35 929.13 604.72 827.91 653.86 1003.33 950.11 784.99 800.72 Forecast value . .26 1073.25 928.5 967.Table 4.29 1028.14 934.6 984.87 1028.89 1024.14 889.51 981.57 955.82 1052.2 1455.63 1093.46 761.39 943.85 892.38 1006.13 633.

89 1042.19 Sl.42 1399.36 962. .86 1301.48 1284.13 1353. .54 1151.37 950.65 1307.Table 4. .85 1445.79 1215.32 1146.85 1203.63 1230.02 685. .18 985.01 . .82 1257.43 1361. .87 1060. .2 1431.4 939.27 835.87 1075.06 1159.31 858. .21 1343.74 1253.51 1242.61 1555.77 1314.1 1166.23 Forecast value 990. 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 Actual value 1084. .32 1267.02 782.52 862.57 1293.74 1021.17 1274. No.26 1282.55 1078. .23 1392.75 1159.95 1262. .36 1274.06 1248.65 1177.84 1027.51 1239.56 988.53 1426. .15 1021.19 1167.94 1474.57 1475.07 1084.76 905.8 1033.05 1350. . Forecast value 1219. 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 Actual value 904.91 1186. . .81 1311.41 1375. No.42 1063.12 841.67 876.93 925.08 1161.05 1187.18 1415. . . .99 1070.18 Months Oct-04 Nov-04 Dec-04 Jan-05 Feb-05 Mar-05 Apr-05 May-05 Jun-05 Jul-05 Aug-05 Sep-05 Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Months Jan-08 Feb-08 Mar-08 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 .12: Contd… Sl. .11 1043.52 952. .9 1060.76 1309.66 1090.83 1446. .93 1307.85 1372. .03 1475.54 1215.79 947.63 1461.94 1230.38 1323. . .72 1639.45 1199. .93 1295.81 1406.93 1323.74 1528.8 1478.13 1091.08 1377.16 1168. .21 1393. .44 1234.38 1119. .37 1333.39 1147.39 1098. . .2 1083.14 1438.59 1292.86 729.69 1169.69 1447.41 1466. . .16 1129.41 1635. .85 1555.26 1071.83 1385.88 1334.15 955.96 887. .24 943.61 1057.36 1443. .

99 117.53 113.96 90. .05 127.52 90.96 137. .29 99.38 155.96 102.35 93. 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 Months Jul-01 Aug-01 Sep-01 Oct-01 Nov-01 Dec-01 Jan-02 Feb-02 Mar-02 Apr-02 May-02 Jun-02 Jul-02 Aug-02 Sep-02 Oct-02 Nov-02 Dec-02 Jan-03 Feb-03 Mar-03 Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Apr-04 May-04 Jun-04 Jul-04 Aug-04 Sep-04 .22 128.96 118.52 135.91 86.58 118.51 116.96 130. .11 99.13: Actual and Forecasted values for prices of cocoon in Siddlaghatta market Actual value 151 175 162 171 168 161 161 172 165 174 168 161 121 116 122 120 116 119 118 98 115 136 128 116 125 130 133 132 110 109 115 126 105 120 115 130 135 140 143 Forecast value .85 95.84 121.94 142.74 139. No 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 Months Apr-98 May-98 Jun-98 Jul-98 Aug-98 Sep-98 Oct-98 Nov-98 Dec-98 Jan-99 Feb-99 Mar-99 Apr-99 May-99 Jun-99 Jul-99 Aug-99 Sep-99 Oct-99 Nov-99 Dec-99 Jan-00 Feb-00 Mar-00 Apr-00 May-00 Jun-00 Jul-00 Aug-00 Sep-00 Oct-00 Nov-00 Dec-00 Jan-01 Feb-01 Mar-01 Apr-01 May-01 Jun-01 Sl.96 116. 144. .95 108.43 132.96 108.07 111.8 100 119.92 109. .18 110.97 137.53 106.12 103.29 138.49 96.78 105.79 131.88 97. .96 75.51 128.96 128.39 141. . .25 152.47 128.55 137.15 141.96 123.06 127.61 Actual value 149 142 127 109 126 136 125 115 110 111 92 98 101 103 98 92 90 80 104 111 102 118 126 153 151 139 144 132 138 126 127 135 134 143 131 119 110 122 105 Forecast value 144.24 121.39 Sl.63 140.Table 4.13 105. .17 132.57 137.96 120.72 139. .47 103.48 89.58 138.01 118. . .76 113.96 129.27 124. No.

73 97.17 96.5 83.71 137. Actual value 111 98 123 121 135 133 137 137 131 127 132 122 116 129 157 171 187 157 149 138 147 126 139 144 126 111 135 130 142 142 142 141 134 122 123 124 109 113 121 Forecast value 97.81 93.13 101.01 145.72 109.16 Actual value 133 130 106 .66 121. .88 130. .14 71.58 162. .85 144.3 127. .33 127.04 130.38 120.36 117.95 83.23 94.9 71.31 Sl. .09 128.85 70. .91 175.31 101.69 130.32 130.8 85. . . .37 146. . .84 126. .93 144.Table 4. Forecast value 126.91 138. . . .43 99.41 184.13 116.37 71.82 135.16 122.23 99..93 77. .46 126.78 98.29 117.86 135. .no 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 Months Jan-08 Feb-08 Mar-08 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 .59 115.23 93.22 83. .61 105. .21 86. .86 79. .95 86. .1 143.78 133. .67 139.59 66.86 70.8 100. . . . .03 110.87 78.13: Contd. .87 139.03 163.04 58. .3 73.97 139.08 115.no 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 Months Oct-04 Nov-04 Dec-04 Jan-05 Feb-05 Mar-05 Apr-05 May-05 Jun-05 Jul-05 Aug-05 Sep-05 Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Sl. .8 92.16 56. .41 140.84 82. .09 117.9 82.78 141. .94 125.01 92.7 78.66 90. . .

Ex-ante and ex-post forecast of cocoon arrivals in Siddlaghatta market Fig.11.12.4. Ex-ante and ex-post forecast of cocoon prices in Siddlaghatta market .Fig4.

2 Behaviour of arrivals and prices of cocoon 5. it is found to be low.1 and 4. 5. the negative growth rate was observed in cocoon (Kshama et al. The data was subjected to different statistical tools and the results presented in the previous chapter are discussed and presented under the following heads. Import of Chinese silk also leads to decrease the production of Indian silk which in turn reduce the Indian cocoon price.1 Growth rates in arrivals and prices of cocoon in Ramnagar and Siddlaghatta market The results of growth rates were presented in Table 4. Because of these reasons. so farmers prefer to go nearby market unless proper transport facilities are available. farmers have to sell cocoon even if it fetches low price on that day. For Siddlaghatta market. From mulberry around five to six harvests can be obtained in a year. in the pre-liberalization period (1980-1988). For Ramnagar market. as cocoon production area and supply is restricted for both markets.1 Seasonal indices of arrivals and prices of cocoon in Ramnagar and Siddlaghatta markets To analyze the arrival pattern of cocoon during different months of the year and their impact on price. the farmers are bringing cocoons from Ramnagar.1 Growth rates in arrivals and prices of cocoon 5. Similarly in Siddlaghatta market. then it will become useless and silk can’t be reeled.2. But the prices of both Ramnagar and Siddlaghatta markets are found to be negative and non-significant. So. there is a negative growth rate both in quantity and value.2 Behaviour of Arrivals and Prices of cocoon 5. which is a perennial plant. the maximum and minimum price was Rs 175/kg and Rs 161/kg but in the year 2008. the maximum and minimum price was Rs 142 and Rs 106/kg. Negative compound growth rate indicates the demand for efficient pricing technique which may make it competitive and increase the growth rates. The seasonal indices of monthly arrivals and prices of cocoon in both Ramnagar and Siddlaghatta markets are presented in Table 4. 2008).3 Market integration 5.2 and Fig 4. The life cycle of silk worm would be .2. In Ramnagar market.. Chitradurga and Tumkur. seasonal indices are computed adopting 12 months centered moving averages.5. Since each district of Karnataka has almost one cocoon market. Though the compound growth rates are significant in arrivals. The seasonal variation in arrivals and prices of cocoon in the study markets are presented as follows. The growth rates of arrivals of both Ramnagar and Siddlaghatta markets are found to be significant. the cocoon supply is from kolar. Similar methodology is used by Nisha (2004) to study the growth rate of groundnut in India from 1980-1988 and 1991-1994. negative growth rates are observed as the prices are reduced over the ten years. Mandya. Silk worm feeds on mulberry leaves. the maximum and minimum price was Rs 129/kg and Rs 92/kg. Bangalore rural and Chikballapur.1.4 Forecasting of arrivals and prices 5. during the year 1998. The results revealed that. DISCUSSION Ramnagar and Siddlaghatta markets are selected to study the fluctuation in cocoon prices. Cocoon can’t be stored for long time since moth will emerge from cocoon. The secondary data on monthly arrivals and prices of cocoons were collected for the study period from 1998 to 2008 from the respective markets. 5. the maximum and minimum price observed during the year 1998 was Rs 142 /kg and 110 Rs/kg but in the year 2008. With reference to growth rates in price.

the highest price is in April month which has lowest arrivals. As the data is available for 14 years (maize) and 20 years (groundnut). cycles are not observed in Ramnagar and Siddlaghatta markets. 2001). Similar results are observed by Punitha (2007). Though the arrivals increased the prices did not show the corresponding decline.2. Ramnagar market recorded high quantity of arrivals and also in price but after that the trend has changed. 5. Since both Ramnagar and Siddlaghatta cocoon markets are in irrigated region. The change in trend occurs as a result of general tendency of the data to increase or decrease as a result of some identifiable influences.2 Secular trend in arrivals and prices of cocoon in Ramnagar and Siddlaghatta markets Trend is long term movement in time series value of a variable over a fairly long period of time. 4. The arrivals of cocoon in both markets are very slowly and gradually increasing. The Trend component in arrivals and prices of cocoon are presented in Fig. 4. The trend shows decrease in arrivals during the year 2002 -2004 in both Ramnagar and Siddlaghatta markets. . the reason might be the high quality of cocoon. During the year 1998.7 to Fig 4. this might be due to the fact that the cocoon may be in continuous demand in the locality. This is mainly because cycle can be observed only for time series data of 30-50 years and above.3 Cyclical trend in arrivals and prices of cocoon in Ramnagar and Siddlaghatta markets Cyclical trend in arrivals and prices of cocoon in Ramnagar and Siddlaghatta markets are presented in Fig. weight.2. With regard to their price indices. humidity etc. In Siddlaghatta market. then it stops feeding and starts spinning the cocoon. As the data is available for 10 years. The price of cocoon is fixed by the reelers based on cocoon color.8. The reason is the occurrence of severe drought due to the failure of rainfall in Southern peninsula. Silk worm reared in hotter months produce less cocoon due to their susceptibility to diseases.3 to 4. It could be observed that there exist no cycles in arrivals and prices of cocoon in Ramnagar and Siddlaghatta markets. A critical analysis of trend shows slowly increasing trend in arrivals in both the study markets but price of cocoon shows trend equation with mild ups and downs in both the markets. the price is fixed mainly based on quality apart from quantity of arrival of cocoon. it is higher during February in Ramnagar market. That cocoon is used for reeling silk. It could be observed that there exist no cycles in arrivals and prices of maize and groundnut in Davengere and Hubli markets. In both Ramnagar and Siddlaghatta markets. Cocoon production will be more. Hence the peak season of arrivals of both Ramnagar and Siddlaghatta markets coincide with the ideal months having favourable condition for cocoon production (March). This method is more suitable for the present study because of absence of a prior knowledge regarding the exact mathematical form of the trend function.6. the cocoon production will be more after the rainy season. The Siddlaghatta market registered high quantity of arrivals and also in price during the remaining years of study period. Similar seasonal indices are obtained by Prabhakara (1988) while studying the behaviour of major cocoon markets in Karnataka viz. when it has favourable conditions like low temperature accompanied by high humidity (Siddiqui et al. so positive trend is observed. the cocoon fetched higher price.. cycles are not observed in any selected markets. luster and quality and quantity. but the quantum of increase in arrivals varied from market to market. During this period.around 25-30 days depending upon climatic conditions like room temperature. Ramnagar and Vijayapura. 5.

5.3

Market integration

**5.3.1 Correlation between arrivals and prices of cocoon in Ramnagar and Siddlaghatta markets
**

The correlation coefficient is computed to ascertain the pattern of association between market arrivals and prices of cocoon in Ramnagar and Siddlaghatta markets. The results of the analysis are presented in Table 4.3 and Table 4.4. It could be observed from the Table 4.3, the year wise correlation of both Ramnagar and Siddlaghatta markets showed negative correlation (i.e.) when the quantity of arrivals increases, the price of cocoon decreases. As far as Table 4.4 considered Ramnagar market shows negative and non-significant relationship between the arrivals and prices of cocoon. It shows apart from arrivals of cocoon, quality also contributing to price. Siddlaghatta market shows negative and significant relationship between the arrivals and prices of cocoon. The arrivals and prices are exactly moving in opposite direction, as arrival increases¸ price decreases and vice versa. Similar technique is employed by Nagaraj et al. (1987) to study spatial integration of silk cocoon markets in Karnataka. Results revealed that the silk cocoon markets in Karnataka are spatially integrated and there by price efficient.

**5.3.2 Concurrent deviation between Ramnagar and Siddlaghatta markets
**

The concurrent deviation between Ramnagar and Siddlaghatta markets are presented in the Table 4.5. The arrivals of cocoon in Ramnagar and Siddlaghatta markets show the positive correlation, it indicates the arrivals of Ramnagar market increase with the increase in arrivals of Siddlaghatta market. Similarly the price of cocoon between two markets shows positive correlation like arrivals. The main disadvantage of the concurrent deviation method is that the significant can’t be tested, only correlation coefficients can be obtained.

**5.4 Box-Jenkins Model
**

As explained earlier (Chapter III), fitting Box-Jenkins models, the other name of ARIMA models, involves a four stage procedure. The discussion is presented in the same order.

**5.4.1 Identification of the model
**

Identification of the model is the first step which involves a greater deal of skill. It is done based on conjunction of the sample Auto Correlation Function with the Partial Auto Correlation Function (PACF). ACF and PACF for both markets are presented in Table 4.6 and 4.11. Since the method of identification does not lay down any hard and fast principles, several possible models are tentatively identified and the following yielded the best results.

5.4.2 Estimation

Having tentatively identified the model, next the parameters which minimize the sum of squares of errors are estimated. The estimated models for arrivals and prices of cocoon are presented below. 1. Monthly arrivals of cocoon in Ramnagar market : (1,1,3) (1,1,1) 2. Monthly prices of cocoon in Ramnagar market : (0,10) (1,1,1) 3. Monthly arrivals of cocoon in Siddlaghatta market : (2,1,1) (1,1,1) 4. Monthly prices of cocoon in Siddlaghatta market: ((0,1,0) (1,1,1)

5.4.3 Diagnostic checking

The residuals of estimated models are examined for testing the randomness of series and analyzed to determine the adequacy of the estimated models.

For all the series of cocoon arrivals and prices, Box-Pierce Q statistic yielded nonsignificant and AIC is minimum. Seasonality is found and forecast consideration is the best. So these models are chosen.

5.4.4 Forecasting

Ex-ante and Ex-post obtained by the Box-Jenkins methods are presented in Table 4.8, 4.9 and Table 4.12, 4.13. The forecasts from the various models are checked for their efficacy by comparing them with the actual values The similar model (Box-Jenkins) is used by Achoth (1985) analyzed the supply, price and trade of Indian tea by fitting ARIMA model to data on prices and production. The forecasts yielded reasonably good results as judged from the tests of their efficiency. The forecasts of prices are superior when compared to the forecasts of quantities, which is attributed to the highly structured pattern of price behaviour.

**6. SUMMARY AND POLICY IMPLICATIONS
**

Sericulture is rearing of silk worms, is well known as a highly employment oriented, low capital intensive activity ideally suited to the conditions of a labour-abundant and agro-based industry. Silk is the queen of textiles, have endearing qualities such as natural sheen, light weight with high durability. India has the unique distinction of producing all the four types of silk viz., mulberry, tasar, muga and eri. Among them, mulberry silk is predominant and accounts for 88 per cent of the total natural silk produced in India, which is taken for present study. Compound growth rates were calculated to find the growth in arrivals and prices of cocoon over the ten years. A multiplicative model of time series was used on arrivals and prices data for each of these markets. A 12 month centered moving average was calculated for the purpose of estimating final stabilized seasonal indices. The trend cycle components were obtained by dividing the original observation by seasonal index of corresponding months. These deseasonalized data contain trend, cyclical and irregular components. This trend cycle components are plotted against time for examining cyclical behaviour. If there is any existence of cycle, periodicity of cycle is noted. Again moving average of length equal to periodicity of cycle is computed for eliminating cyclical behaviour. The order of polynomial regression was determined based on the highest R² values. In order to know the market integration, the correlation coefficients were calculated for all the prices and arrivals of market. Concurrent deviation was used to know the arrivals and prices in both the markets were moving in the same direction or not. The Box-Jenkins is fitted to arrivals and prices of both Ramnagar and Siddlaghatta market. If there is seasonality in the data, then seasonal ARIMA model is used. Before going to application of Box-Jenkins analysis, the data should be stationary series. If the series is not stationary, it could be removed by differencing. The differenced series does not distort the features of the series. Making use of differenced series (which is stationary), the ACF and PACF were computed because, it helps in tentatively identify the models. Then the parameters of all tentatively identified models were estimated by iterative process. These estimated models were subjected to diagnostic checking in order to determine the adequacy of the models. The residues of estimated models were examined for testing the randomly of series and for its significance. The ACF and PACF of residuals were tested using Box-Jenkins Q statistic. Both Ex-ante and Ex-post forecast was done for all the best models. Therefore the present study is an attempt to study the fluctuation in silk cocoon prices in selected markets. Hence, the present study is conducted with the following objectives. 1) To study the growth in arrivals and prices of cocoon in the selected markets. 2) To study the price behaviour of cocoon. 3) To analyze the market integration. 4) To forecast the price of cocoon. Ramnagar and Siddlaghatta cocoon market have been selected for the study as they are the important reeling cocoon markets in Karnataka. The study was exclusively based on secondary data. The information on monthly data of cocoon arrivals and prices was collected for the study period from 1998-99 to 2007-08 from the respective markets. Major findings of the study Growth in arrivals and prices of cocoon • In Ramnagar market, the arrivals in cocoon have recorded a significant compound growth rate of 0.0584, but the value of cocoon recorded a negative compound growth rate of -0.0070. In Siddlaghatta market, the cocoon arrivals reported a significant compound growth rate of 0.1407, but the value of cocoon recorded a negative compound growth rate of 0.0178.

•

The prices are high in February (Ramnagar). Seasonal indices indicate that the arrivals are high in March in both the markets and low in August (Ramnagar). April (Siddlaghatta). Policy measures should be brought out to have minimum support price for cocoon.1) Monthly prices of cocoon in Siddlaghatta market: ((0. A model involving a random variable or chance factor is called stochastic model or probability model. Seasonal indices of arrivals and prices of cocoon in Siddlaghatta recorded that the highest arrival index was noticed in the month of March (125.1. Hence. • Secular trend • • The pattern of trend in arrivals and prices of cocoon were almost similar in study markets.74) and the lowest arrival was noticed in the month of April (84.1.10) (1. 2.1. .97).63). Similarly positive relationship was recorded for prices between Ramnagar and Siddlaghatta market. the 6 order polynomial regression equation shows increasing trend in arrivals and for prices.1.1) POLICY IMPLICATIONS The implications based on the findings of the present study are as follows.1) Monthly arrivals of cocoon in Siddlaghatta market : (2.00) and the lowest arrival was noticed in the month of August (84. The highest price index was noticed in the month of February (109. incentives to farmers.23). In concurrent deviation method. 3. The highest price index was noticed in the month of April (110. th Cyclical trend • No cyclical trend was observed in both arrivals and prices of cocoon in selected markets. 1. the farmer needs to plan their cocoon production which comes to harvest in the months where prices are high.1. Stochastic means being or having a random variable. A stochastic model is a tool for estimating probability distribution of potential outcome by allowing for random variation in one or more inputs over time. The cyclical trend in selected markets showed that there were no constant period between cycles in both arrivals and prices.3) (1.1) Monthly prices of cocoon in Ramnagar market : (0.Seasonal indices • Seasonal indices of arrivals and prices of cocoon in Ramnagar revealed that the highest arrival index was noticed in the month of March (139. Negative relationship between arrivals and prices was noticed for Ramnagar market and then negative and significant relationship was observed for Siddlaghatta market.0) (1.1. So the cocoon production area can be increased by providing some loans.1) (1. November (Siddlaghatta). April (Siddlaghatta) and low in October (Ramnagar). Stochastic model helps to assess the interaction between variables and are useful tools to numerically evaluate quantities.1. positive relationship was noticed for arrivals between Ramnagar and Siddlaghatta market. Association between arrivals and prices • • • Correlation coefficient was computed to ascertain the pattern of association between market arrivals and prices of cocoon in selected markets. though it was fluctuating with ups and downs.53). Box-Jenkins model The estimated models for arrivals and prices of cocoon are presented below: • • • • Monthly arrivals of cocoon in Ramnagar market : (1. The growth rates of arrivals and prices of cocoon are found to be very low over the ten years. For both the markets.

All four models are found to be best for arrivals and prices. need to be provided by the market officials. it is noticed in the month of September and December in Ramnagar market and in April in Siddlaghatta market.4. To avoid market glut. ARIMA model results reveal that usually the arrivals are high in the month of March in both Ramnagar and Siddlaghatta markets. . In case of price. space for displaying cocoons. resting place for farmers etc.. in the above markets.

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368 1.660.647 10.5 0. Raw silk: Million tonnes State Traditional states Andhra Pradesh Jammu & Kashmir Karnataka Tamil nadu West Bengal Subtotal (a) Non-traditional states Arunachal Pradesh Assam Bihar Chattisgarh Himachal Pradesh Jharkhand Kerala Madhya Pradesh Maharashtra Manipur Meghalaya Mizoram Nagaland Orissa Punjab Rajasthan Sikkim Tripura Uttar Pradesh Uttarkhand Subtotal(b) Grand total (a+b) 236 2500 408 365 1.043 14.68 Area Raw silk .893 1 4 5 6 20 1 14 50 125 80 2 6 1 2.176 1.3 0.5 0.36 15.647 5.68.240 1.485.858.91.2 8 30 15 386 16.717 4.059 2.458 4.407 827 862 23.680 405 213 250 210 148 1.245 42.685 100 1.569 1.32 105 8.APPENDIX I State wise Area and Raw Production of Mulberry Silk Unit: Area: ha.341 1.914 918 1.000 97.

78 3.01 102.42 1.4 5.7 3.63 Country USA UK UAE Italy German Spain Hong Kong France Tanzania Rep Saudi Arabia Others Total APPENDIX III Country wise silk export earnings Value: Crore Rs Country share 2007-08 (Percent) 299.54 23.3 0.2 1.5 100 .3 30.03 82.83 183.2 7.22 Silk carpets 7. Fabrics.87 64.38 Ready made garments 32.3 2.0 5.292.9 6.APPENDIX II Export earnings from silk items Value: Crore Rs Item wise Export Natural silk yarn.292.77 29.44 67.31 Silk waste 1.48 22.38 394.2 14. Made-ups 479.53 42.54 Total 2007-08 773.

The information on prices and arrivals of cocoon were collected from the respective markets for the study period from 1998-99 to 2007-08. Seasonal indices of arrivals and prices of cocoon in Ramnagar market revealed that the highest arrival index was noticed in the month of March (139. Negative relationship between arrivals and prices was noticed for Ramnagar market and then negative and significant relationship was observed for Siddlaghatta market.53). BHARATHI 2009 Mr. positive relationship was noticed for arrivals between Ramnagar and Siddlghatta markets. the growth rate was found to be positive and significant in Ramnagar and Siddlaghatta markets.74) and the highest price index was noticed in the month of April (110. Similarly in Siddlaghatta market. have endearing qualities such as natural sheen. the highest arrival index was noticed in the month of March (125. The data was fitted to sixth degree polynomial and the increasing trend was observed for arrivals in both Ramnagar and Siddlaghatta markets. In case of arrivals. HAVALDAR MAJOR ADVISOR ABSTRACT Silk is the queen of textiles. But in case of prices. Forecasted values of arrivals showed an increasing trend and prices showed decreasing trend in Ramnagar markets. light weight with high durability. The present study was conducted to study the fluctuations in silk cocoon prices in Ramnagar and Siddlaghatta markets. . In concurrent deviation method. Y.PRICE BEHAVIOUR OF MULBERRY SILK COCOON IN RAMNAGAR AND SIDDLAGHATTA MARKET – A STATISTICAL ANALYSIS APPROACH R.00) and the highest price index was noticed in the month of February (109. N. Similarly positive relationship was recorded for prices between Ramnagar and Siddlaghatta markets. the growth rate was found to be negative and non-significant in both the markets.23). Similarly forecasted values of arrivals showed an increasing trend and prices showed decreasing trend in Siddlaghatta market. No cyclical index was observed in both arrivals and prices of cocoon in both the markets.

by Ravi Kumar

Silk Fibre

Silk Fibre

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