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Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets

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  • Buguk, Cumhur
  • Hudson, Darren
  • Hanson, Terrill R.

Abstract

Price volatility spillovers in the U.S. catfish supply chain are analyzed based on monthly price data from 1980 through 2000 for catfish feed, its ingredients, and farm- and wholesale-level catfish. The exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model was used to test univariate volatility spillovers for prices in the supply chain. Strong price volatility spillover from feeding material (corn, soybeans, menhaden) to catfish feed and farm- and wholesale-level catfish prices was detected.

Suggested Citation

  • Buguk, Cumhur & Hudson, Darren & Hanson, Terrill R., 2003. "Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 28(01), pages 1-14, April.
    • Handle: RePEc:ags:jlaare:30716
    DOI: 10.22004/ag.econ.30716
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    References listed on IDEAS

    as
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    6. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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