Factor Analysis of Price Volatility in the South Korea Broiler Market

• 발행기관: 한국자료분석학회
• 저자명: Myeong Jun Kim Sun Ho Lee Sang Young Jei
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.14 No.6, 2889~2896쪽, 전체 8쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2012.12.30

영문 초록

This paper examines conditional volatility of producer and consumer broiler prices is derived from the exponential generalized autoregressive heteroskedasticity model (EGARCH) and that its determinants affecting those volatility in broiler market. Through cointegration test for volatility of producer and consumer broiler prices and exogenous variables, the long-run property of the variables is identified. The results of vector error collection model (VECM) and impulse response function are that shocks of exogenous variables have positive effect on the volatility of producer broiler prices and that shocks of exogenous variables prices have negative effects on the consumer broiler prices.

목차

1. Introduction

2. Data and Model Specification

3. Empirical Results

4. Concluding Remarks

Reference

키워드

Broiler Market Price Volatility EGARCH VECM Cointegration Test