Volatility and Spill Over Effects in Indian Commodity Markets: A Case Of Pepper

Debasish, Maitra and Dey, Kushankur (2011) Volatility and Spill Over Effects in Indian Commodity Markets: A Case Of Pepper. Studies in Business and Economics, 6 (3). pp. 119-145.

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Modeling of volatility has been felt one of the major academic contributions in Indian commodity futures market. We have selected black pepper as a commodity for estimating volatility and its spillover incorporating a series of models. We have employed models with their specifications, namely, GARCH (2, 2), EGARCH (2,2), EGARCH (3,3), CGARCH (1,1), MGARCH (Diagonal VECH and BEKK) for both the spot and futures return-series of the commodity. Study reveals that bidirectional spillover is captured under GARCH (2, 2) model whereas unidirectional spillover is found under EGARCH (2, 2) model and results obtained through EGARCH (3,3) are not impressive. News impact curve depicts the steeper movement on the logarithmic conditional variance of futures and spot-return series due to ‘positive shocks’ and rather than to ‘negative shock’. Conditional correlation is also found dynamic and the correlation between spot and futures returns of pepper changes temporally.

Item Type: Article
Uncontrolled Keywords: Volatility; Spillover; Asymmetric effect; News impact
Subjects: Finance
Divisions: Finance and Strategy
Depositing User: Mr. Muralidhara D
Date Deposited: 27 Nov 2018 07:21
Last Modified: 27 Nov 2018 07:21
URI: http://tapmi.informaticsglobal.com/id/eprint/487

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