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The volatility spillover of potato prices in different markets of India


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1 ICAR-Indian Agricultural Statistics Research Institute, New Delhi 110 012, India
 

Agricultural commodity prices, particularly the prices of perishable commodities, are volatile. The interdependency of market prices of agricultural commodities makes it difficult for accurate modelling. In the present study, two variants of multivariate generalized auto­regressive 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 spillovers of potatoes among the studied markets. The volatility spillover has been computed for all the markets.
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  • The volatility spillover of potato prices in different markets of India

Abstract Views: 266  |  PDF Views: 117

Authors

Ranjit Kumar Paul
ICAR-Indian Agricultural Statistics Research Institute, New Delhi 110 012, India
Md. Yeasin
ICAR-Indian Agricultural Statistics Research Institute, New Delhi 110 012, India
A. K. Paul
ICAR-Indian Agricultural Statistics Research Institute, New Delhi 110 012, India

Abstract


Agricultural commodity prices, particularly the prices of perishable commodities, are volatile. The interdependency of market prices of agricultural commodities makes it difficult for accurate modelling. In the present study, two variants of multivariate generalized auto­regressive 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 spillovers of potatoes among the studied markets. The volatility spillover has been computed for all the markets.

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DOI: https://doi.org/10.18520/cs%2Fv123%2Fi3%2F482-487