Preliminary communication
https://doi.org/10.31217/p.34.2.23
Analysing volatility spillovers between grain and freight markets
Totakura Bangar Raju
orcid.org/0000-0003-4395-8967
; School of Business, University of Petroleum and Energy Studies, Kandholi, Via-Prem Nagar, Dehradun, Uttarakhand State, India
Ayush Bavise
; School of Business, University of Petroleum and Energy Studies, Kandholi, Via-Prem Nagar, Dehradun, Uttarakhand State, India
Pradeep Chauhan
; School of Business, University of Petroleum and Energy Studies, Kandholi, Via-Prem Nagar, Dehradun, Uttarakhand State, India
Bhavana Venkata Ramalingeswar Rao
; Indian Maritime University, Visakhapatnam new campus, Vangali Village, Tekkalipalem Post, Near Rayavarapu Agraharam, Sabbavaram, Visakhapatnam, Andhra Pradesh State, India
Abstract
The International Grain Council (IGC) circulates two price indices which are the Grain and Oilseeds Index (GOI) and the Grain and Oilseeds Freight Market Index (GOFI). These two indices indicate the respective market prices. The GOI markets are affected by various factors like supply and demand, weather, freight markets, etc. This research article attempts to explore and analyse volatility in GOI and GOFI markets using various GARCH family models, that is Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) analysis. The multivariate Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model (DCC GARCH) is used to find the spillovers between the two markets and thereby explore the effect of GOFI on GOI markets from the year 2013. The research article consists of four sections after introducing the subject namely a literature review, research methodology and models, analysis and conclusions of the study.
Keywords
Volatility; GARCH; Grain markets; Freight markets; Spillovers
Hrčak ID:
248330
URI
Publication date:
21.12.2020.
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