Jute price forecasting in Murshidabad market of west Bengal using ARIMA technique

Abstract

The present study is an attempt to forecast the prices of jute in the markets of Murshidabad district of West Bengal. The time series data on monthly price of jute required for the study was collected from AGMARKNET website for the period January, 2002 to December, 2019. The seasonal ARIMA model was used for the modelling of price using the Box-Jenkins technique and best model was selected on the basis of lowest RMSE, AIC and MAPE values and the best identified model was ARIMA (1,1,1)(1,0,0)[12]. The fitted values for the in-sample period and predicted values for out-sample period were closer to real time price values. The best identified model was used for predicting the future prices of 12 months (January, 2020 to December, 2020). The forecasted price rises from the month of March, 2020 and stabilizes thereafter. The analysis was done in “R” statistical software.