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http://krishi.icar.gov.in/jspui/handle/123456789/68772| Title: | Asymmetric Price Volatility of Onion in India. |
| Other Titles: | Not Available |
| Authors: | Debopam Rakshit Ranjit Kumar Paul Sanjeev Panwar |
| ICAR Data Use Licennce: | http://krishi.icar.gov.in/PDF/ICAR_Data_Use_Licence.pdf |
| Author's Affiliated institute: | ICAR::Indian Agricultural Statistics Research Institute |
| Published/ Complete Date: | 2021-04-01 |
| Project Code: | Not Available |
| Keywords: | APARCH EGARCH GARCH GJRGARCH News Impact Curve |
| Publisher: | Indian Journal of Agricultural Economics |
| Citation: | Debopam Rakshit, Ranjit Kumar Paul and Sanjeev Panwar (2021). Asymmetric Price Volatility of Onion in India, Indian Journal of Agricultural Economics,76(2), 245-260. |
| Series/Report no.: | Not Available; |
| Abstract/Description: | Price of onion shows a high degree of volatility. Price volatility is said to be asymmetric when it is affected by positive and negative shocks of same magnitude with different degree. Asymmetric volatility can be captured by asymmetric GARCH type of model such as EGARCH, APARCH and GJR-GARCH. Weekly modal price of onion for Delhi, Lasalgaon and Bengaluru markets are modelled with the help of these asymmetric variance models. For the present investigation, APARCH model outperformed the other competing models and it is considered as the best fit model for the data under consideration. Finally, the extent of asymmetry due to positive and negative shocks for all these markets are visualised with the help of News Impact Curves. |
| Description: | Not Available |
| ISSN: | Not Available |
| Type(s) of content: | Research Paper |
| Sponsors: | Not Available |
| Language: | English |
| Name of Journal: | Indian Journal of Agricultural Economics |
| Volume No.: | 76(2) |
| Page Number: | 245-:260 |
| Name of the Division/Regional Station: | Not Available |
| Source, DOI or any other URL: | http://isaeindia.org/wp-content/uploads/2021/07/03-Ranjit-Kumar-Paul.pdf |
| URI: | http://krishi.icar.gov.in/jspui/handle/123456789/68772 |
| Appears in Collections: | AEdu-IASRI-Publication |
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