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The Behaviour of Salmon Price Volatility

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Author Info
Oglend, Atle
Sikveland, Marius
Abstract

Salmon prices exhibit substantial volatility. An understanding of the structure of volatility is of great interest since this is a major contributor to economic risk in the salmon industry. The volatility process in salmon prices was analysed based on weekly price data from 1995 to 2007. The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model was used to test for volatility clustering and persistence of volatility for prices. We find evidence for and discuss the degree of persistence and reversion in salmon price volatility. Further, we find increased volatility in periods of high prices. For the industry this means that larger expected profits more often than not come at a tradeoff of greater price risk.

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Publisher Info
Article provided by Marine Resources Foundation in its journal Marine Resource Economics.

Volume (Year): 23 (2008)
Issue (Month): 4 ()
Pages:
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Handle: RePEc:ags:mareec:54156

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Related research
Keywords: Price risk; salmon aquaculture; salmon prices; volatility; Marketing; Research and Development/Tech Change/Emerging Technologies; Research Methods/ Statistical Methods; C22; Q21; Q22;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Asche, Frank & Tveteras, Ragnar, 1999. "Modeling Production Risk With A Two-Step Procedure," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 24(02), December. [Downloadable!]
  2. Bessembinder, Hendrik & Seguin, Paul J., 1993. "Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(01), pages 21-39, March. [Downloadable!]
  3. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December. [Downloadable!] (restricted)
    Other versions:
  4. Lamoureux, Christopher G & Lastrapes, William D, 1990. "Persistence in Variance, Structural Change, and the GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 225-34, April.
  5. Subal C. Kumbhakar & Ragnar Tveterås, 2003. "Risk Preferences, Production Risk and Firm Heterogeneity," Scandinavian Journal of Economics, Blackwell Publishing, vol. 105(2), pages 275-293, 06. [Downloadable!] (restricted)
  6. Asche, Frank, 1997. "Trade Disputes And Productivity Gains: The Curse Of Farmed Salmon Production?," Marine Resource Economics, Marine Resources Foundation, vol. 12(1). [Downloadable!]
  7. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August. [Downloadable!] (restricted)
  8. Chambers, Marcus J & Bailey, Roy E, 1996. "A Theory of Commodity Price Fluctuations," Journal of Political Economy, University of Chicago Press, vol. 104(5), pages 924-57, October. [Downloadable!] (restricted)
    Other versions:
  9. Deaton, Angus & Laroque, Guy, 1992. "On the Behaviour of Commodity Prices," Review of Economic Studies, Blackwell Publishing, vol. 59(1), pages 1-23, January. [Downloadable!] (restricted)
    Other versions:
  10. Asche, Frank & Gordon, Daniel V. & Hannesson, Rognvaldur, 2004. "Tests For Market Integration And The Law Of One Price: The Market For Whitefish In France," Marine Resource Economics, Marine Resources Foundation, vol. 19(2). [Downloadable!]
  11. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
  12. Andersen, Trude B. & Roll, Kristin H. & Tveteras, Sigbjorn, 2008. "The Price Responsiveness of Salmon Supply in the Short and Long Run," Marine Resource Economics, Marine Resources Foundation, vol. 23(4). [Downloadable!]
  13. Kalev, Petko S. & Liu, Wai-Man & Pham, Peter K. & Jarnecic, Elvis, 2004. "Public information arrival and volatility of intraday stock returns," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1441-1467, June. [Downloadable!] (restricted)
  14. Jones, Christopher S., 2003. "The dynamics of stochastic volatility: evidence from underlying and options markets," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 181-224. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Asche, Frank & Guttormsen, Atle G & Tveteras, Ragnar, 2008. "Aquaculture—Opportunities and Challenges: Special Issue Introduction," Marine Resource Economics, Marine Resources Foundation, vol. 23(4). [Downloadable!]
  2. Andersen, Trude B. & Roll, Kristin H. & Tveteras, Sigbjorn, 2008. "The Price Responsiveness of Salmon Supply in the Short and Long Run," Marine Resource Economics, Marine Resources Foundation, vol. 23(4). [Downloadable!]
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This page was last updated on 2009-12-26.

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