Econometric and volatility analysis of Uganda’s maize export dynamics under macroeconomic instability: Evidence from ARIMAX, GARCH, and Structural break models

For Uganda’s maize export sector, export quantity and price levels exhibit a high degree of volatility, largely driven by macroeconomic shocks such as exchange rate fluctuations and inflation, which continue to influence production costs and international competitiveness. This study applies an integrated econometric framework combining ARIMAX for modeling the conditional mean, GARCH for volatility dynamics, and structural break tests to capture regime changes over the period 1961 to 2025. The ARIMAX estimation results indicate a weak, positive, and statistically insignificant effect of inflation on export volumes, while exchange rate depreciation also shows a weak, unstable, and statistically insignificant impact on exports. This suggests limited transmission of macroeconomic policy variables to Uganda’s agricultural export performance. The autoregressive coefficient from the ARIMAX model is negative and statistically significant at −0.5773, indicating strong mean reversion in export dynamics, where shocks to exports tend to dissipate over time rather than persist indefinitely. The GARCH results further reveal strong volatility persistence, with the sum of the ARCH and GARCH coefficients (α + β) estimated at 0.8843. This indicates that shocks to maize export volatility are highly persistent and influence export variability over extended periods, implying that instability in exports is not short lived but accumulates over time. The structural break analysis identifies a significant regime shift around 1970, confirmed by the Chow test results, which reflects a transition from a highly unstable export structure to a more stable but still volatile regime influenced by evolving policy and institutional changes. The findings indicate that Uganda’s maize export performance is characterized by both trend behavior and persistent risk exposure, with long lasting shocks shaping its dynamics over time. Consequently, policy interventions should extend beyond macroeconomic stabilization to include coordinated exchange rate management, agricultural risk mitigation instruments such as insurance schemes, improved storage infrastructure, and enhanced market access systems, in order to reduce export volatility and strengthen long term export resilience.