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Please use this identifier to cite or link to this item:
http://krishi.icar.gov.in/jspui/handle/123456789/1861
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Achal Lama | en_US |
dc.contributor.author | Girish Jha | en_US |
dc.contributor.author | Bishal Gurung | en_US |
dc.contributor.author | Ranjit Kumar Paul | en_US |
dc.contributor.author | Kanchan Sinha | en_US |
dc.date.accessioned | 2017-01-25T05:05:40Z | - |
dc.date.available | 2017-01-25T05:05:40Z | - |
dc.date.issued | 2016-08-31 | - |
dc.identifier.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. | en_US |
dc.identifier.issn | Not Available | - |
dc.identifier.uri | http://krishi.icar.gov.in/jspui/handle/123456789/1861 | - |
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 | Indian Society of Agricultural Statistics, New Delhi | 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 of Pulses Prices: An Application | 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 Indian Society of Agricultural Statistics | en_US |
dc.publication.volumeno | 70(2) | en_US |
dc.publication.pagenumber | 445-461 | en_US |
dc.publication.divisionUnit | Not Available | en_US |
dc.publication.sourceUrl | Not Available | en_US |
dc.publication.naasrating | 5.51 | - |
Appears in Collections: | AEdu-IASRI-Publication |
Files in This Item:
File | Description | Size | Format | |
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6_AchalLama.pdf | 265.62 kB | Adobe PDF | View/Open |
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