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Makale Tam Makale Uluslararası 2022

PREDICTION OF CONDITIONAL VARIANCE VOLATILITY OF REAL PRICES OF ALMOND, HAZELNUT, AND PISTACHIO BY THE DIAGONAL BEKK-GARCH (1.1) EQUATION MODEL

Ferda Nur Özdemir Keskin, Haluk Çağlar Kaymak, Adem Aksoy

SCIENTIFIC PAPERS-SERIES MANAGEMENT ECONOMIC ENGINEERING IN AGRICULTURE AND RURAL DEVELOPMENT Cilt 22 · Sayı 4 · ss. 517–526 · 01.12.2022

Özet

Turkey is one of the most important hazelnuts and pistachio producers in the world. In this study, it has been determined what kind of volatility and pass-through there is between the real prices of almonds, hazelnuts, and pistachios in Turkey. In addition, whether a shock in the markets creates uncertainty in its own market and other markets have been revealed. Diagonal-Bekk Garch (1,1) model was used under the Full-rank constraint with 192 monthly data sets between the period 2005M1-2020M12. The results of the research have put forth that the shocks that will occur in the almond market increase the uncertainty in its own market. Similarly, a shock in the hazelnut market increases the uncertainty both in its own market and in the pistachio market, while a shock in the pistachio market increases the uncertainty in its own market. Moreover, the shocks in the almond and hazelnut market are permanent in these markets in the short and long term, but the shocks in the pistachio market do not have a permanent effect in the short and long term.

Anahtar kelimeler

Turkey MODEL 1 price volatility Diagonal-Bekk Garch (1 nuts industry COMPETITION POWER SPILLOVER

Atıf için künye

Özdemir Keskin, F. N., Kaymak, H. Ç., & Aksoy, A. (2022). PREDICTION OF CONDITIONAL VARIANCE VOLATILITY OF REAL PRICES OF ALMOND, HAZELNUT, AND PISTACHIO BY THE DIAGONAL BEKK-GARCH (1.1) EQUATION MODEL. SCIENTIFIC PAPERS-SERIES MANAGEMENT ECONOMIC ENGINEERING IN AGRICULTURE AND RURAL DEVELOPMENT, 22(4), 517–526. https://managementjournal.usamv.ro/pdf/vol.22_4/volume_22_4_2022.pdf

BibTeX
@article{ozdemirkeskin2022-265921,
  author = {Özdemir Keskin, Ferda Nur and Kaymak, Haluk Çağlar and Aksoy, Adem},
  title = {PREDICTION OF CONDITIONAL VARIANCE VOLATILITY OF REAL PRICES OF ALMOND, HAZELNUT, AND PISTACHIO BY THE DIAGONAL BEKK-GARCH (1.1) EQUATION MODEL},
  journal = {SCIENTIFIC PAPERS-SERIES MANAGEMENT ECONOMIC ENGINEERING IN AGRICULTURE AND RURAL DEVELOPMENT},
  year = {2022},
  volume = {22},
  number = {4},
  pages = {517--526},
  issn = {2284-7995},
  url = {https://akademik.atauni.edu.tr/yayinlar/265921-prediction-of-conditional-variance-volatility-of-real-prices-of-almond-hazelnut}
}