New Research on Risk Management from Mangalore Summarized (Using Econometric Models to Manage the Price Risk of Cocoa Beans: A Case from India): Insurance – Risk Management

Insurance Daily News

2022 JUL 08 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Data detailed on risk management have been presented. According to news reporting originating from Mangalore, India, by NewsRx correspondents, research stated, “This study aims at developing econometric models to manage the price risk of Dry and Wet Cocoa beans with the help of ARIMA (Autoregressive Integrated Moving Average) and VAR (Vector Auto Regressive).”

Our news correspondents obtained a quote from the research from Department of Business Administration: “The monthly price of Cocoa beans is collected for the period starting from April 2009 to March 2020 from the office of CAMPCO Limited, Mangalore, and the ICE Cocoa futures price from the website of investing.com. The augmented dickey fuller test is used to test the stationarity of the series. The ACF and PACF correlograms are used to identify the tentative ARIMA model. Akaike information criterion (AIC) and Schwarz criterion (SBIC), Sigma square, and adjusted * * R* * ² are used to decide on the optional AR and MA terms for the models. Durbin-Watson statistics and correlograms of the residuals are used to decide on the model’s goodness of fit. Identified optimal models were ARIMA (1, 1, 0) for the Dry Cocoa beans price series and ARIMA (1, 1, 2) for the Wet Cocoa beans price series.”

According to the news reporters, the research concluded: “The multivariate VAR (1) model found that the US and London Cocoa futures prices traded on the ICE platform will influence the price of Dry Cocoa in India. This study will be helpful to forecast the price of Cocoa beans to manage the price risk, precisely for Cocoa traders, Chocolate manufacturers, Cocoa growers, and the government for planning and decision-making purposes.”

For more information on this research see: Using Econometric Models to Manage the Price Risk of Cocoa Beans: A Case from India. Risks, 2022,10(115):115. (Risks - http://www.mdpi.com/journal/risks). The publisher for Risks is MDPI AG.

A free version of this journal article is available at https://doi.org/10.3390/risks10060115.

Our news editors report that more information may be obtained by contacting Kepulaje Abhaya Kumar, Department of Business Administration, Mangalore Institute of Technology & Engineering, Mangalore 574225, India. Additional authors for this research include Cristi Spulbar, Prakash Pinto, Iqbal Thonse Hawaldar, Ramona Birau, Jyeshtaraja Joisa.