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http://krishi.icar.gov.in/jspui/handle/123456789/74090| Title: | The volatility spillover of potato prices in different markets of India |
| Other Titles: | Not Available |
| Authors: | Ranjit Kumar Paul Md. Yeasin A. K. Paul |
| 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: | 2022-08-10 |
| Project Code: | Not Available |
| Keywords: | Nonlinearity potato price spillover volatility |
| Publisher: | Not Available |
| Citation: | Not Available |
| Series/Report no.: | Not Available; |
| Abstract/Description: | Agricultural commodity prices, particularly the prices of perishable commodities, are volatile. The interde-pendency of market prices of agricultural commodities makes it difficult for accurate modelling. In the present study, two variants of multivariate generalized auto-regressive conditional heteroscedastic models, namely DCC and BEKK, have been applied for modelling the price volatility of potato in five major markets in India, i.e. Agra, Delhi, Bengaluru, Mumbai and Ahmedabad. It is observed that the Agra market has the highest price variability, whereas Mumbai has the least. All the studied market prices showed a significant presence of conditional heteroscedasticity. To this end, Volatility Impulse Response Function has been used to assess the impacts of a specific shock on the price volatility spill-overs of potatoes among the studied markets. The vola-tility spillover has been computed for all the markets. |
| Description: | Not Available |
| ISSN: | Not Available |
| Type(s) of content: | Research Paper |
| Sponsors: | Not Available |
| Language: | English |
| Name of Journal: | Current Science |
| NAAS Rating: | 7.10 |
| Volume No.: | 123(10) |
| Page Number: | 482-487 |
| Name of the Division/Regional Station: | Not Available |
| Source, DOI or any other URL: | DOI:10.18520/cs/v123/i3/482-487 |
| URI: | http://krishi.icar.gov.in/jspui/handle/123456789/74090 |
| Appears in Collections: | AEdu-IASRI-Publication |
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