fruits, price fluctuation, ARCH family models, risk management
Abstract
This study analyzes price fluctuations of apples, bananas, and grapes using quantitative and qualitative methods. Based on price data from January 31, 2014, to January 19, 2024, GARCH models are applied to study price volatility, and the Value at Risk (VaR) method is used for risk management. The results show significant fruit price volatility, with log-returns having a leptokurtic distribution. Prices of apples and grapes display conditional heteroskedasticity, fitting well with GARCH models, while bananas do not, making GARCH unsuitable for them. Among three distribution assumptions (normal, Student’s t, and GED), the GED model provides the best fit. Further findings reveal a mismatch between returns and risk for apples, while grapes exhibit a high-risk, high-return profile. Additionally, apple prices lack asymmetry, whereas grape prices do show asymmetric volatility. VaR back-testing confirms the model’s reliability, especially at a 99% confidence level with zero failure rate. This research provides practical tools for fruit market risk management, aiding in resource allocation, hedging strategies, and risk cost reduction.
