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Modeling Asymmetric Volatility: A News Impact Curve Approach

Author

Listed:
  • Debopam Rakshit

    (ICAR—Indian Agricultural Statistics Research Institute, New Delhi 110012, India)

  • Ranjit Kumar Paul

    (ICAR—Indian Agricultural Statistics Research Institute, New Delhi 110012, India)

  • Md Yeasin

    (ICAR—Indian Agricultural Statistics Research Institute, New Delhi 110012, India)

  • Walid Emam

    (Department of Statistics and Operations Research, Faculty of Science, King Saud University, P.O. Box 2455, Riyadh 11451, Saudi Arabia)

  • Yusra Tashkandy

    (Department of Statistics and Operations Research, Faculty of Science, King Saud University, P.O. Box 2455, Riyadh 11451, Saudi Arabia)

  • Christophe Chesneau

    (Department of Mathematics, University of Caen-Normandie, 14000 Caen, France)

Abstract

Seasonal production, weather abnormalities, and high perishability introduce a high degree of volatility to potato prices. Price volatility is said to be asymmetric when positive and negative shocks of the same magnitude affect it in a dissimilar way. GARCH is a symmetric model, and it cannot capture asymmetric price volatility. EGARCH, APARCH, and GJR-GARCH models are popularly used to capture asymmetric price volatility. In this paper, an attempt is made to model the price volatility of the weekly wholesale modal price of potatoes for the Agra, Ahmedabad, Bengaluru, Delhi, Kolkata, and Mumbai markets using the above-mentioned models. The News Impact Curves (NICs) are derived from the fitted models, which confirmed the presence of asymmetry in the price volatility. To this end, NICs are used to describe the degree of asymmetry in volatility present in different markets.

Suggested Citation

  • Debopam Rakshit & Ranjit Kumar Paul & Md Yeasin & Walid Emam & Yusra Tashkandy & Christophe Chesneau, 2023. "Modeling Asymmetric Volatility: A News Impact Curve Approach," Mathematics, MDPI, vol. 11(13), pages 1-14, June.
    • Handle: RePEc:gam:jmathe:v:11:y:2023:i:13:p:2793-:d:1175995
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    1. Sandip Garai & Ranjit Kumar Paul & Debopam Rakshit & Md Yeasin & Walid Emam & Yusra Tashkandy & Christophe Chesneau, 2023. "Wavelets in Combination with Stochastic and Machine Learning Models to Predict Agricultural Prices," Mathematics, MDPI, vol. 11(13), pages 1-18, June.

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