TY - JOUR
T1 - Price volatility of South-East fishery's quota species
T2 - An empirical analysis
AU - Bose, Shekar
PY - 2004/9
Y1 - 2004/9
N2 - This study investigates the autoregressive conditional heteroscedasticity (ARCH) and generalized-ARCH (GARCH) effects in the price series of Australian South-East Fishery's quota species. It is found that in all cases significant ARCH and/or GARCH effects are present. To search for the origins of these effects a weakly exogenous variable (trading volume) is introduced to the conditional variance equation of the ARCH and GARCH models, provided that such effects are observed in the first stage of investigation. It is found that in 14 cases the estimated coefficients of the trading volume are negative. In all cases, the 'trading volume' variable does not contribute to the removal of the ARCH and/or GARCH effects. Finally, the policy implications of the findings are discussed.
AB - This study investigates the autoregressive conditional heteroscedasticity (ARCH) and generalized-ARCH (GARCH) effects in the price series of Australian South-East Fishery's quota species. It is found that in all cases significant ARCH and/or GARCH effects are present. To search for the origins of these effects a weakly exogenous variable (trading volume) is introduced to the conditional variance equation of the ARCH and GARCH models, provided that such effects are observed in the first stage of investigation. It is found that in 14 cases the estimated coefficients of the trading volume are negative. In all cases, the 'trading volume' variable does not contribute to the removal of the ARCH and/or GARCH effects. Finally, the policy implications of the findings are discussed.
KW - Australia
KW - JEL Classification: C3, D4, D8, Q0
KW - Price volatility
KW - South-east fishery
KW - Sydney fish market
UR - http://www.scopus.com/inward/record.url?scp=79960122097&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=79960122097&partnerID=8YFLogxK
U2 - 10.1080/1016873042000269966
DO - 10.1080/1016873042000269966
M3 - Article
AN - SCOPUS:79960122097
SN - 1016-8737
VL - 18
SP - 283
EP - 297
JO - International Economic Journal
JF - International Economic Journal
IS - 3
ER -