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Please use this identifier to cite or link to this item:
http://krishi.icar.gov.in/jspui/handle/123456789/42851Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | A. Lama | en_US |
| dc.contributor.author | G. K. Jha | en_US |
| dc.contributor.author | B. Gurung | en_US |
| dc.contributor.author | R. K. Paul | en_US |
| dc.contributor.author | K. Sinha | en_US |
| dc.date.accessioned | 2020-12-01T09:47:15Z | - |
| dc.date.available | 2020-12-01T09:47:15Z | - |
| dc.date.issued | 2016-02-01 | - |
| dc.identifier.citation | Lama, Achal , Jha, Girish K., Gurung, Bishal, Paul, Ranjit Kumar and Sinha, Kanchan (2016). Journal of the Indian Society of Agricultural Statistics 70(2), 145–151 | en_US |
| dc.identifier.issn | Not Available | - |
| dc.identifier.uri | http://krishi.icar.gov.in/jspui/handle/123456789/42851 | - |
| dc.description | Not Available | en_US |
| dc.description.abstract | In this paper an attempt has been made to mode the volatile pulses prices using the VAR-MGARCH approach. The different forms of MGARCH models such as BEKK, CCC and DCC have also been explored. To deal with the presence of excess kurtosis in the series Student-t distribution innovation was also considered. Further, it was empirically found that the MGARCH-DCC model with Student-t distribution was the most suitable among all for modelling the pulses series | en_US |
| dc.description.sponsorship | Not Available | en_US |
| dc.language.iso | English | en_US |
| dc.publisher | Not Available | en_US |
| dc.relation.ispartofseries | Not Available; | - |
| dc.subject | Volatility | en_US |
| dc.subject | VAR | en_US |
| dc.subject | MGARCH | en_US |
| dc.subject | BEKK | en_US |
| dc.subject | CCC | en_US |
| dc.subject | DCC | en_US |
| dc.title | VAR-MGARCH models for volatility modelling pulses prices | en_US |
| dc.title.alternative | Not Available | en_US |
| dc.type | Research Paper | en_US |
| dc.publication.projectcode | Not Available | en_US |
| dc.publication.journalname | Journal of the Indian Society of Agricultural Statistics | en_US |
| dc.publication.volumeno | 70(2) | en_US |
| dc.publication.pagenumber | 145-151 | en_US |
| dc.publication.divisionUnit | Not Available | en_US |
| dc.publication.sourceUrl | Not Available | en_US |
| dc.publication.authorAffiliation | ICAR::Indian Agricultural Statistics Research Institute | en_US |
| dc.ICARdataUseLicence | http://krishi.icar.gov.in/PDF/ICAR_Data_Use_Licence.pdf | en_US |
| dc.publication.naasrating | 5.51 | - |
| Appears in Collections: | AEdu-IASRI-Publication | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 6_AchalLama.pdf | 333.17 kB | Adobe PDF | View/Open |
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