Modeling Asymmetric Volatility: A News Impact Curve Approach
Seasonal production, weather abnormalities, and high perishability introduce a high degree of volatility to potato prices. Price volatility is said to be asymmetric when positive and negative shocks of the same magnitude affect it in a dissimilar way. GARCH is a symmetric model, and it cannot captur...
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| Format: | Article |
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MDPI AG
2023-06-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/11/13/2793 |
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| author | Debopam Rakshit Ranjit Kumar Paul Md Yeasin Walid Emam Yusra Tashkandy Christophe Chesneau |
| author_facet | Debopam Rakshit Ranjit Kumar Paul Md Yeasin Walid Emam Yusra Tashkandy Christophe Chesneau |
| author_sort | Debopam Rakshit |
| collection | DOAJ |
| description | Seasonal production, weather abnormalities, and high perishability introduce a high degree of volatility to potato prices. Price volatility is said to be asymmetric when positive and negative shocks of the same magnitude affect it in a dissimilar way. GARCH is a symmetric model, and it cannot capture asymmetric price volatility. EGARCH, APARCH, and GJR-GARCH models are popularly used to capture asymmetric price volatility. In this paper, an attempt is made to model the price volatility of the weekly wholesale modal price of potatoes for the Agra, Ahmedabad, Bengaluru, Delhi, Kolkata, and Mumbai markets using the above-mentioned models. The News Impact Curves (NICs) are derived from the fitted models, which confirmed the presence of asymmetry in the price volatility. To this end, NICs are used to describe the degree of asymmetry in volatility present in different markets. |
| first_indexed | 2024-03-11T01:35:00Z |
| format | Article |
| id | doaj.art-31f46c6bdf4440ca9d31b93964c96032 |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-11T01:35:00Z |
| publishDate | 2023-06-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-31f46c6bdf4440ca9d31b93964c960322023-11-18T17:01:25ZengMDPI AGMathematics2227-73902023-06-011113279310.3390/math11132793Modeling Asymmetric Volatility: A News Impact Curve ApproachDebopam Rakshit0Ranjit Kumar Paul1Md Yeasin2Walid Emam3Yusra Tashkandy4Christophe Chesneau5ICAR—Indian Agricultural Statistics Research Institute, New Delhi 110012, IndiaICAR—Indian Agricultural Statistics Research Institute, New Delhi 110012, IndiaICAR—Indian Agricultural Statistics Research Institute, New Delhi 110012, IndiaDepartment of Statistics and Operations Research, Faculty of Science, King Saud University, P.O. Box 2455, Riyadh 11451, Saudi ArabiaDepartment of Statistics and Operations Research, Faculty of Science, King Saud University, P.O. Box 2455, Riyadh 11451, Saudi ArabiaDepartment of Mathematics, University of Caen-Normandie, 14000 Caen, FranceSeasonal production, weather abnormalities, and high perishability introduce a high degree of volatility to potato prices. Price volatility is said to be asymmetric when positive and negative shocks of the same magnitude affect it in a dissimilar way. GARCH is a symmetric model, and it cannot capture asymmetric price volatility. EGARCH, APARCH, and GJR-GARCH models are popularly used to capture asymmetric price volatility. In this paper, an attempt is made to model the price volatility of the weekly wholesale modal price of potatoes for the Agra, Ahmedabad, Bengaluru, Delhi, Kolkata, and Mumbai markets using the above-mentioned models. The News Impact Curves (NICs) are derived from the fitted models, which confirmed the presence of asymmetry in the price volatility. To this end, NICs are used to describe the degree of asymmetry in volatility present in different markets.https://www.mdpi.com/2227-7390/11/13/2793GARCHNews Impact Curvevolatility |
| spellingShingle | Debopam Rakshit Ranjit Kumar Paul Md Yeasin Walid Emam Yusra Tashkandy Christophe Chesneau Modeling Asymmetric Volatility: A News Impact Curve Approach Mathematics GARCH News Impact Curve volatility |
| title | Modeling Asymmetric Volatility: A News Impact Curve Approach |
| title_full | Modeling Asymmetric Volatility: A News Impact Curve Approach |
| title_fullStr | Modeling Asymmetric Volatility: A News Impact Curve Approach |
| title_full_unstemmed | Modeling Asymmetric Volatility: A News Impact Curve Approach |
| title_short | Modeling Asymmetric Volatility: A News Impact Curve Approach |
| title_sort | modeling asymmetric volatility a news impact curve approach |
| topic | GARCH News Impact Curve volatility |
| url | https://www.mdpi.com/2227-7390/11/13/2793 |
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