An analysis on the time-varying correlation among selected agricultural commodities: a DCC-GARCH model-based approach

Eva Mishra and R. Murugesan

International Journal of Enterprise Network Management, 2024, vol. 15, issue 3, 261-285

Abstract: As per the literature survey, very few studies analyse the dynamics of conditional correlation and spillover effects between agricultural commodity prices. This research aims at finding the dynamic correlation among agricultural commodity prices. The knowledge of the dynamic correlation between agriculture crop prices is of great significance to consumers, government agencies, investors, farmers, and policymakers. The DCC-GARCH model is used on the agricultural commodity prices such as rice, wheat, gram, banana, groundnut, onion, potato, and sugarcane, spanning 2000-2020, collected from the Indian agricultural market. Our research confirms the presence of a dynamic correlation between agricultural commodity prices. The DCC-GARCH model was found to be efficient in evaluating conditional correlation. There was a conditional correlation among gram and other agricultural crops (banana, groundnuts, onion, and potato) prices for a long period. The change in the price of rice crops alters the prices of other agricultural commodities considered in our research.

Keywords: dynamic correlation; spillover; DCC-GARCH; agricultural crop prices; agricultural market. (search for similar items in EconPapers)
Date: 2024
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