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標題: Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO
作者: Chang, Chia-Lin
Huang, Biing-Wen
Chen, Meng-Gu
McAleer, Michael
關鍵字: Hog prices;Joining the WTO;Conditional volatility models;Asymmetry;Leverage;maximum likelihood estimator;autoregressive time-series;unit-root;tests;conditional heteroscedasticity;financial volatility;garch;errors;market;power;heteroskedasticity;options
Project: Mathematics and Computers in Simulation, Volume 81, Issue 7, Page(s) 1491-1506.
Prices in the hog industry in Taiwan are determined according to an auction system. There are significant differences in hog prices before, during and after joining the World Trade Organization (WTO). The paper models growth rates and volatility in daily hog prices in Taiwan from 23 March 1999 to 30 June 2007, which enables an analysis of the effects of joining the WTO. The empirical results have significant implications for risk management and policy in the agricultural industry. The three sub-samples for the periods before, during and after joining the WTO display significantly different volatility persistence of symmetry, asymmetry and leverage, respectively. (c) 2010 IMACS. Published by Elsevier B.V. All rights reserved.
ISSN: 0378-4754
DOI: 10.1016/j.matcom.2010.06.003
Appears in Collections:應用經濟學系

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