• The Journal of Asian Finance, Economics and Business
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• 제4권4호
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• pp.27-37
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• 2017

This study examines the behaviour of staple food price using Multivariate BEKK-GARCH Model. Understanding of staple food price behaviour is important for determining the unpredictability of staple food market and also for policy making. In this paper, we focus on the commodity prices of sugar, rice, soybean and wheat to examine the volatility behaviour of those commodities. The empirical results show that the own-volatility spillover are relatively significant for all food prices. The own-volatility spillover effect for sugar price is relatively large compared with the volatility spillover of other staple food commodities. The findings also highlight that the price volatility of wheat increases during food crisis more than it does when the condition is stable. Also, the own-volatility of rice and wheat in the period of the food crisis is significant and higher compared to the period before food crisis indicates that the past own-volatility effects during food crisis are relatively more difficult to predict because of the uncertainty and high price volatility. Policy recommendations that can be proposed based on the findings are: (1) a better trade agreement in food commodity trade, (2) lower the dependence on wheat importation in Indonesia, and (3) reliable system to minimize food price volatility risks.

• Asian Journal of Business Environment
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• 제11권4호
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• pp.17-29
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• 2021

Purpose: The aim of this study is to explore the dynamic linkage between conditional stock market volatility and macroeconomic uncertainty of Bangladesh. Research design, data, and methodology: This study uses monthly data covering the time period from January 2005 to December 2018. A comprehensive set of macroeconomic variables, namely industrial production index (IP), consumer price index (CPI), broad money supply (M2), 91-day treasury bill rate (TB), treasury bond yield (GB), exchange rate (EX), inflow of foreign remittance (RT) and stock market index of DSEX are used for analysis. Symmetric and asymmetric univariate GARCH family of models and multivariate VAR model, along with block exogeneity and impulse response functions, are implemented on conditional volatility series to discover the possible interactions and causal relations between macroeconomic forces and stock return. Results: The analysis of the study exhibits time-varying volatility and volatility persistence in all the variables of interest. Moreover, the asymmetric effect is found significant in the stock return and most of the growth series of macroeconomic fundamentals. Results from the multivariate VAR model indicate that only short-term interest rate significantly influence the stock market volatility, while conditional stock return volatility is significant in explaining the volatility of industrial production, inflation, and treasury bill rate. Conclusion: The findings suggest an increasing interdependence between the money market and equity market as well as the macroeconomic fundamentals of Bangladesh.

• 자원ㆍ환경경제연구
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• 제11권3호
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• pp.397-414
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• 2002

This paper presents an empirical analysis of exchange rate volatility, petroleum's import price and industrial production on petroleum imports. The GARCH framework is used to measure the exchange rate volatility. One of the most appealing features of the GARCH model is that it captures the volatility clustering phenomenon. We found one long-run relationship between petroleum imports, import price, industrial production, and exchange rate volatility using Johansen's multivariate cointegration methodology. Since there exists a cointegrating vector, therefore, we employ an error correction model to examine the short-run dynamic linkage, finding that the exchange rate volatility performs a key role in the short-run. This paper also apply impulse-response functions to provide the dynamic responses of energy consumption to the exchange rate volatility. The results show that the response of energy consumption to exchange rate volatility declines at the first month and dies out very quickly.

• Quantitative Bio-Science
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• 제37권2호
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• pp.73-79
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• 2018

As high frequency (HF, for short) time series is now prevalent in the presence of real time big data, volatility computations based on traditional ARCH/GARCH models need to be further developed to suit the high frequency characteristics. This article reviews realized volatilities (RV) and multivariate GARCH (MGARCH) to deal with high frequency volatility computations. As a (functional) infinite dimensional models, the fARCH and fGARCH are introduced to accommodate ultra high frequency (UHF) volatilities. The fARCH and fGARCH models are developed in the recent literature by Hormann et al. [1] and Aue et al. [2], respectively, and our discussions are mainly based on these two key articles. Real data applications to domestic UHF financial time series are illustrated.

• 응용통계연구
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• 제28권3호
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• pp.541-559
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• 2015

VaR는 금융위험을 측정하고 관리하기위한 중요한 도구로 현재 널리 사용되고 있다. 특히 금융자산 수익률의 변동성에 적합한 모형을 찾는 것은 VaR의 정확한 측정을 위해 중요한 과제이다. 본 연구에서는 한국의 코스피, 중국의 항셍, 일본의 니케이지수들로 구성된 포트폴리오의 VaR를 측정하기 위한 변동성모형으로 다양한 일변량모형들과 다변량모형들을 함께 고려하여 그 성과를 비교하였다. 사후검증을 통해 전체적으로 일변량모형들보다는 다변량모형들이 VaR의 측정에 더 적합한 것으로 보여 졌으며 특히 DCC와 ADCC모형이 더욱 우수한 것으로 나타났다.

• 응용통계연구
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• 제33권3호
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• pp.297-308
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• 2020

본 논문에서는 고빈도 함수적 ARCH 모형을 소개하고 근사모형으로써 다변량 변동성 모형을 고려하였다. 이를 기반으로 함수형 변동성 분석에서 중요한 요소인 일중 로그 수익률의 적절한 시간 간격을 찾아보았다. 또한 함수적 ARCH 모형에서 l-시차 후 변동성 예측식을 제시하고 고빈도 KOSPI 자료에 적합하여 예시하였다.

• 수산경영론집
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• 제49권2호
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• pp.21-35
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• 2018

Squid is a popular seafood in Korea. However, since the 2000s, the squid production has been declining. The unstable supply of the squid products may cause price fluctuations of fresh and chilled squid. These price fluctuations may be relatively more severe than them of other commodities, because the fresh and chilled squid can not be stored for a long period of time. Thus, this study analyzes the structural characteristics of price volatility and price asymmetry of fresh squid based on off-diagonal GARCH model. Data used to analysis of this study are daily wholesale and retail prices of fresh squid from January 1, 2006 to December 31, 2016 provided in the KAMIS. As theoretical approaches of this study, first of all, the stability of the time series is confirmed by the unit root test. Secondly, the causality between distribution channels is checked by the Granger causality test. Thirdly, the VAR model and the off-diagonal GARCH model are adopted to estimate asymmetry effect and price volatility spillover between distribution channels. Finally, the stability of the model is confirmed by multivariate Q-statistic and ARCH-LM test. In conclusion, fresh squid is found to have shock and volatility spillover between wholesale and retail prices as well as its own price. Also, volatility asymmetry effect is shown in own wholesale or retail price of fresh squid. Finally, this study shows that the decrease in the fresh squid retail price of t-1 period than the increase in the t-1 period has a greater impact on the volatility of the fresh squid wholesale price in t period.

• East Asian Economic Review
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• 제19권3호
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• pp.275-322
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• 2015

The key objective of this study is to investigate the return and volatility spillover effects among stock market, credit default swap (CDS) market and foreign exchange market for three countries: Korea, the US and Japan. Using the trivariate VAR BEKK GARCH (1,1) model, the study finds that there are significant return and volatility spillover effects between the Korean CDS market and the Korean stock market. In addition, the return spillover effects from foreign exchange markets and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to the Korean stock market are both significant.

• The Journal of Asian Finance, Economics and Business
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• 제9권5호
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• pp.1-9
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• 2022

The study examines stock prices (LOGKSE) and exchange rate (LOGPK)-Pakistani Rupee vis-à-vis US Dollar- interactions in Pakistan. This study employs a multivariate VAR-GARCH model using monthly data from January 2012 to October 2020. The results of the Johansen cointegration test show that there is no relationship between Foreign Exchange Market and Stock Market in the long run. In the short-run, stock exchange returns are affected slightly negatively by the changes in the foreign exchange market, but the foreign exchange market does not seem to be affected by the ups and downs of the stock exchange. The VAR model and Granger Causality show that both markets are strongly influenced by their own lagged values rather than by the lagged values of one another and show weak or no correlation between the two markets. Volatility persistence is observed in both the stock and foreign exchange markets, implying that shocks and past period volatility are major drivers of future volatility in both markets. Thus greater uncertainties today will induce panic and consequently generate higher volatility in the future period. This phenomenon has been observed many times on Pakistan Stock Exchange especially. The results have important implications for local international investors in portfolio diversification decisions and risk hedging strategies.

• 응용통계연구
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• 제28권5호
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• pp.1013-1024
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• 2015

본 논문에서는 다변량 DCC(dynamic conditional correlation) GARCH 모형에서 동태적 상관계수를 추정하기 위한 대표적 방법인 쌍별 추정법과 다차원 추정법의 효율성을 비교한다. 이를 위하여 금융 시장의 변동성을 반영하는 다변량 시계열을 생성하고 이에 대한 DCC GARCH 모형을 수립 및 추정하는 시뮬레이션을 실시하였다. 또한 KOSPI 200 섹터지수를 이용하여 포트폴리오를 구성하고 이의 변동성 추정 및 VaR 계산을 통하여 동태적 상관계수 추정에 대한 정확성을 평가하였다. 그 결과로서, 전반적으로 다차원 추정법이 쌍별 추정법보다 우수함을 발견하였다. 특히, 다차원 추정법에서 상대적으로 상관관계가 낮은 시계열을 추가할수록 쌍별 시계열에 대한 동태적 상관계수 추정의 정확성을 높여줌을 발견하였다.