Record Details

The volatility spillover of potato prices in different markets of India

KRISHI: Publication and Data Inventory Repository

View Archive Info
 
 
Field Value
 
Title The volatility spillover of potato prices in different markets of India
Not Available
 
Creator Ranjit Kumar Paul
Md. Yeasin
A. K. Paul
 
Subject Nonlinearity
potato price
spillover
volatility
 
Description Not Available
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.
Not Available
 
Date 2022-09-13T07:05:32Z
2022-09-13T07:05:32Z
2022-08-10
 
Type Research Paper
 
Identifier Not Available
Not Available
http://krishi.icar.gov.in/jspui/handle/123456789/74090
 
Language English
 
Relation Not Available;
 
Publisher Not Available