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http://krishi.icar.gov.in/jspui/handle/123456789/1861| Title: | VAR-MGARCH Models for Volatility Modelling of Pulses Prices: An Application |
| Other Titles: | Not Available |
| Authors: | Achal Lama Girish Jha Bishal Gurung Ranjit Kumar Paul Kanchan Sinha |
| Published/ Complete Date: | 2016-08-31 |
| Project Code: | Not Available |
| Keywords: | Volatility VAR MGARCH BEKK CCC DCC |
| Publisher: | Indian Society of Agricultural Statistics, New Delhi |
| Citation: | Lama, A., Jha, G.K., Gurung, B., Paul, R.K. and Sinha, K. (2016). VAR-MGARCH Models for Volatility Modelling of Pulses Prices: An Application. Journal of Indian Society of Agricultural Statistics, 70(2), 145-161. |
| Series/Report no.: | Not Available; |
| Abstract/Description: | 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. |
| Description: | Not Available |
| ISSN: | Not Available |
| Type(s) of content: | Research Paper |
| Sponsors: | Not Available |
| Language: | English |
| Name of Journal: | Journal of Indian Society of Agricultural Statistics |
| NAAS Rating: | 5.51 |
| Volume No.: | 70(2) |
| Page Number: | 445-461 |
| Name of the Division/Regional Station: | Not Available |
| Source, DOI or any other URL: | Not Available |
| URI: | http://krishi.icar.gov.in/jspui/handle/123456789/1861 |
| Appears in Collections: | AEdu-IASRI-Publication |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 6_AchalLama.pdf | 265.62 kB | Adobe PDF | View/Open |
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