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Price volatility of south-east fishery's quota species: an empirical analysis

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  • Shekar Bose

Abstract

This study investigates the autoregressive conditional heteroscedasticity (ARCH) and generalized-ARCH (GARCH) effects in the price series of Australian South-East Fishery's quota species. It is found that in all cases significant ARCH and/or GARCH effects are present. To search for the origins of these effects a weakly exogenous variable (trading volume) is introduced to the conditional variance equation of the ARCH and GARCH models, provided that such effects are observed in the first stage of investigation. It is found that in 14 cases the estimated coefficients of the trading volume are negative. In all cases, the 'trading volume' variable does not contribute to the removal of the ARCH and/or GARCH effects. Finally, the policy implications of the findings are discussed.

Suggested Citation

  • Shekar Bose, 2001. "Price volatility of south-east fishery's quota species: an empirical analysis," International Economic Journal, Taylor & Francis Journals, vol. 18(3), pages 283-297.
    • Handle: RePEc:taf:intecj:v:18:y:2001:i:3:p:283-297
    DOI: 10.1080/1016873042000269966
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    References listed on IDEAS

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    More about this item

    Keywords

    JEL Classification: C3; D4; D8; Q0; Price volatility; Sydney fish market; South-east fishery; Australia;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • D4 - Microeconomics - - Market Structure, Pricing, and Design
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • Q0 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General

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