VOLATILITY AND SPILL OVER EFFECTS IN INDIAN COMMODITY MARKETS: A CASE OF PEPPER

Maitra Debasish and Dey Kushankur
Additional contact information
Maitra Debasish: Institute of Rural Management Anand, India
Dey Kushankur: T. A. Pai Management Institute, India

Studies in Business and Economics, 2011, vol. 6, issue 3, 119-145

Abstract: Modeling of volatility has been felt one of the major academic contributions in Indian commodity futures market. We have selected black pepper as a commodity for estimating volatility and its spillover incorporating a series of models. We have employed models with their specifications, namely, GARCH (2, 2), EGARCH (2,2), EGARCH (3,3), CGARCH (1,1), MGARCH (Diagonal VECH and BEKK) for both the spot and futures return-series of the commodity. Study reveals that bidirectional spillover is captured under GARCH (2, 2) model whereas unidirectional spillover is found under EGARCH (2, 2) model and results obtained through EGARCH (3,3) are not impressive. News impact curve depicts the steeper movement on the logarithmic conditional variance of futures and spot-return series due to ‘positive shocks’ and rather than to ‘negative shock’. Conditional correlation is also found dynamic and the correlation between spot and futures returns of pepper changes temporally.

Keywords: volatility; spillover; asymmetric effect; news impact (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://eccsf.ulbsibiu.ro/RePEc/blg/journl/639maitra&dey.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:blg:journl:v:6:y:2011:i:3:p:119-145

Access Statistics for this article

More articles in Studies in Business and Economics from Lucian Blaga University of Sibiu, Faculty of Economic Sciences Lucian Blaga University of Sibiu, Faculty of Economic Sciences Dumbravii Avenue, No 17, postal code 550324, Sibiu, Romania. Contact information at EDIRC.
Bibliographic data for series maintained by Mihaela Herciu ().