IDEAS home Printed from https://ideas.repec.org/a/ags/injagm/399628.html

Volatility and spillover in onion prices in major markets of Karnataka, India

Author

Listed:
  • Paul, Ranjit Kumar
  • Das, Tanima
  • Panwar, Sanjeev
  • Paul, A.K.
  • Bhar, L. M.

Abstract

In the recent times, the price volatility has been the main centre of attention for the researchers also understanding the spillover effect of one market on the others is of great practical importance. It is therefore important to extend the consideration univariate Generalized autoregressive conditional heteroscedastic (GARCH) model to Multivariate GARCH (MGARCH) model. Various aspects of cointegration and vector error correction model have been discussed. In the MGARCH model, Baba-Engle-Kraft-Kroner (BEKK) and Constant Conditional Correlation (CCC) models are considered for modeling volatility of onion prices in two major markets of onion in Karnataka, India. It is concluded that that the two markets are cointegrated and there exists spillover effect among them.

Suggested Citation

  • Paul, Ranjit Kumar & Das, Tanima & Panwar, Sanjeev & Paul, A.K. & Bhar, L. M., 2018. "Volatility and spillover in onion prices in major markets of Karnataka, India," Indian Journal of Agricultural Marketing, Indian Society of Agricultural Marketing, vol. 32(3).
    • Handle: RePEc:ags:injagm:399628
    DOI: 10.22004/ag.econ.399628
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/399628/files/IJAM%2032%20%283%29%20_%20Volatility%20and%20spillover%20in%20onion-pages-161-161.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.399628?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:injagm:399628. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://agrilmktg.in/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.