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VAR-MGARCH Models for Volatility Modelling of Pulses Prices: An Application

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Title VAR-MGARCH Models for Volatility Modelling of Pulses Prices: An Application
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Creator Achal Lama
Girish Jha
Bishal Gurung
Ranjit Kumar Paul
Kanchan Sinha
 
Subject Volatility
VAR
MGARCH
BEKK
CCC
DCC
 
Description Not Available
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.
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Date 2017-01-25T05:05:40Z
2017-01-25T05:05:40Z
2016-08-31
 
Type Research Paper
 
Identifier 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.
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http://krishi.icar.gov.in/jspui/handle/123456789/1861
 
Language English
 
Relation Not Available;
 
Publisher Indian Society of Agricultural Statistics, New Delhi