Modelling the Asymmetric Volatility in Hog Prices in Taiwan

Chia-Lin Chang (), Bing-Wen Huang and Meng-Gu Chen

No EI 2010-46, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: Prices in the hog industry in Taiwan are determined according to an auction system. There are significant differences in hog prices before, during and after joining the World Trade Organization (WTO). The paper models growth rates and volatility in daily hog prices in Taiwan from 23 March 1999 to 30 June 2007, which enables an analysis of the effects of joining the WTO. The empirical results have significant implications for risk management and policy in the agricultural industry. The three sub-samples for the periods before, during and after joining the WTO display significantly different volatility persistence of symmetry, asymmetry and leverage, respectively.

Keywords: asymmetry; conditional volatility models; hog prices; joining the WTO; leverage; moment conditions (search for similar items in EconPapers)
Date: 2010-07-28
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