(Universidad Icesi, 2013-10-01) Alonso Cifuentes, Julio César; Arcila Vásquez, Andrés Mauricio
This paper studies the behavior of seasonal patterns in the international sugar price. Using seasonal unit
root test and a monthly sample from 1989 to 2010, a non-stationary stochastic seasonal pattern was
observed. This pattern implies that a “summer” could become a “winter”, a result that had not been
previously documented for this market. On the other hand, using these findings, our results show that is
possible to create an AutoRegressive Moving Average (ARMA) model that out-performs other approaches
that do not take in account this kind of seasonality when forecasting the sugar price.
