GARCH 모형을 이용한 수산물의 가격변동성에 관한 연구
A Study on the Price Volatility of Fisheries Using GARCH Model
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paper examines the volatility of the prices of fisheries. This research shows empirical evidence there exist GARCH effects on the prices of fisheries that this study concerns. This study investigates the price volatility of mackerel, scabbard fish, cuttlefish, and pollack.As the results, there are GARCH effect on the prices volatility all of the fisheries in this paper at 5% level of significance. Furthermore, it shows volatility clustering that they are sometimes volatile but sometimes tranquil. Conditional volatilities are estimated using GARCH (1,1)-t model. Past shock remains in the conditional volatility persistently in mackerel as 0.65, but weakly in scabbard fish, cuttlefish, and pollack. Persistency parameter, , which is maintained in future with similar volatility of present, are very strong in all of the fisheries in this paper.These quantitative information can be usefully utilized to establish forecasting model for the price of fisheries and to estimate effect for the price stabilization polices of government.
Abstract
paper examines the volatility of the prices of fisheries. This research shows empirical evidence there exist GARCH effects on the prices of fisheries that this study concerns. This study investigates the price volatility of mackerel, scabbard fish, cuttlefish, and pollack.As the results, there are GARCH effect on the prices volatility all of the fisheries in this paper at 5% level of significance. Furthermore, it shows volatility clustering that they are sometimes volatile but sometimes tranquil. Conditional volatilities are estimated using GARCH (1,1)-t model. Past shock remains in the conditional volatility persistently in mackerel as 0.65, but weakly in scabbard fish, cuttlefish, and pollack. Persistency parameter, , which is maintained in future with similar volatility of present, are very strong in all of the fisheries in this paper.These quantitative information can be usefully utilized to establish forecasting model for the price of fisheries and to estimate effect for the price stabilization polices of government.
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