DETERMINING THE SHORT AND LONG TERM VOLATILITY SPILLOVERS BETWEEN WHEAT, COTTON AND CORN PRICES IN TURKEY USING THE ASYMMETRIC BEKK-GARCH-MEAN EQUATION MODEL
Özet
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.
Atıf için künye
Özdemir Keskin, F. N., & Bilgiç, A. (2023). DETERMINING THE SHORT AND LONG TERM VOLATILITY SPILLOVERS BETWEEN WHEAT, COTTON AND CORN PRICES IN TURKEY USING THE ASYMMETRIC BEKK-GARCH-MEAN EQUATION MODEL. SCIENTIFIC PAPERS-SERIES MANAGEMENT ECONOMIC ENGINEERING IN AGRICULTURE AND RURAL DEVELOPMENT, 31(1), 475–489. https://avesis.atauni.edu.tr/yayin/b2b121b7-40b0-4d91-91ee-b34226057e4c/determining-the-short-and-long-term-volatility-spillovers-between-wheat-cotton-and-corn-prices-in-turkey-using-the-asymmetric-bekk-garch-mean-equation-model
BibTeX
@article{ozdemirkeskin2023-291047,
author = {Özdemir Keskin, Ferda Nur and Bilgiç, Abdulbaki},
title = {DETERMINING THE SHORT AND LONG TERM VOLATILITY SPILLOVERS BETWEEN WHEAT, COTTON AND CORN PRICES IN TURKEY USING THE ASYMMETRIC BEKK-GARCH-MEAN EQUATION MODEL},
journal = {SCIENTIFIC PAPERS-SERIES MANAGEMENT ECONOMIC ENGINEERING IN AGRICULTURE AND RURAL DEVELOPMENT},
year = {2023},
volume = {31},
number = {1},
pages = {475--489},
issn = {2284-7995},
url = {https://akademik.atauni.edu.tr/yayinlar/291047-determining-the-short-and-long-term-volatility-spillovers-between-wheat-cotton}
}