DETERMINING THE SHORT AND LONG TERM VOLATILITY SPILLOVERS BETWEEN WHEAT, COTTON AND CORN PRICES IN TURKEY USING THE ASYMMETRIC BEKK-GARCH-MEAN EQUATION MODEL

In the study, the price volatility relationship between wheat, cotton , corn markets was investigated and daily data for the period 02.04.2005-11.03.2020 were used. The VAR-Asymmetric BEKK-GARCH model, which analyzes the markets simultaneously in a single system, was chosen. Persistent long-term uncertainty in the wheat market affects the market positively. Long-term uncertainty in the cotton market creates uncertainty both in its own market and in the corn market. Persistent long-term uncertainty in the corn market creates permanent uncertainties both in its own market and in other markets , these effects are statistically significant. Markets were more affected by long-term shocks.

Journal

SCIENTIFIC PAPERS-SERIES MANAGEMENT ECONOMIC ENGINEERING IN AGRICULTURE AND RURAL DEVELOPMENT

Year

2023

Volume

23

Issue

1

Pages

475-490

ISSN

2284-7995

eISSN

2285-3952

WoS UID

WOS:000989840300052