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

Ranjit Kumar Paul, Tanima Das, Sanjeev Panwar, A.K. Paul and L. M. Bhar

Indian Journal of Agricultural Marketing, 2018, vol. 32, issue 3

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.

Keywords: Agribusiness (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:ags:injagm:399628

DOI: 10.22004/ag.econ.399628

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