Modeling Asymmetric Volatility: A News Impact Curve Approach

Debopam Rakshit (), Ranjit Kumar Paul, Md Yeasin, Walid Emam, Yusra Tashkandy and Christophe Chesneau
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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

Mathematics, 2023, vol. 11, issue 13, 1-14

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.

Keywords: GARCH; News Impact Curve; volatility (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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