Ocean and Polar Research

Korea Institute of Ocean Science & Technology (한국해양과학기술원)
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Tests for Asymmetry and Structure Changes in Retail Price Volatility of Fresh Common Squid in the Republic of Korea

신선 물오징어 소매가격 변동성의 구조변화와 비대칭성 검증

  • Nam, Jongoh (Division of Economics, College of Humanities and Social Sciences, Pukyong National University) ;
  • Sim, Seonghyun (Department of Applied Economics, Graduate School, Pukyong National University)
  • 남종오 (국립부경대학교 인문사회과학대학 경제학부) ;
  • 심성현 (국립부경대학교 일반대학원 응용경제학과)
  • Received : 2015.11.13
  • Accepted : 2015.12.11
  • Published : 2015.12.30
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Abstract

This study analyzed structural changes and asymmetry of price volatility during the period before and after a point of structural change in price volatility, using the Korean fresh common squid daily retail price data from January 1, 2004 to September 30, 2015. This study utilized the following analytical methods: the unit-root test was applied to ensure the stability of the data, the Quandt-Andrews breakpoint test was applied to find the point of structural change, and the Glosten-Jagannathan-Runkle GARCH and EGARCH models were applied to investigate the asymmetry of price volatility. The empirical results of this study are as follows. First, ADF, PP, KPSS and Zivot-Andrews tests showed that the daily retail price change rate of the Korean fresh common squid differentiated by logarithm was stable. Secondly, the ARIMA (2,1,2) model was selected by information criteria such as AIC, SC, and HQ. Thirdly, the Quandt-Andrews breakpoint test found that a single structural change in price volatility occurred on June 11, 2009. Fourthly, the Glosten-Jagannathan-Runkle GARCH and EGARCH models showed that estimates of coefficients within the models were statistically significant before and after structural change and also that asymmetry as a leverage effect existed before and after structural change.

Keywords

References

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