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http://dx.doi.org/10.5762/KAIS.2020.21.6.212

A Study on Price Volatility and Properties of Time-series for the Tangerine Price in Jeju  

Ko, Bong-Hyun (Division of Co-existent Economy Research, Jeju Research Institute)
Publication Information
Journal of the Korea Academia-Industrial cooperation Society / v.21, no.6, 2020 , pp. 212-217 More about this Journal
Abstract
The purpose of this study was to analyze the volatility and properties of a time series for tangerine prices in Jeju using the GARCH model of Bollerslev(1986). First, it was found that the time series for the rate of change in tangerine prices had a thicker tail rather than a normal distribution. At a significance level of 1%, the Jarque-Bera statistic led to a rejection of the null hypothesis that the distribution of the time series for the rate of change in tangerine prices is normally distributed. Second, the correlation between the time series was high based on the Ljung-Box Q statistic, which was statistically verified through the ARCH-LM test. Third, the results of the GARCH(1,1) model estimation showed statistically significant results at a significance level of 1%, except for the constant of the mean equation. The persistence parameter value of the variance equation was estimated to be close to 1, which means that there is a high possibility that a similar level of volatility will be present in the future. Finally, it is expected that the results of this study can be used as basic data to optimize the government's tangerine supply and demand control policy.
Keywords
Price Volatility; Tangerine Price; GARCH Model; Volatility Clustering; Properties of Time-series;
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