Price volatility of South-East fishery's quota species: An empirical analysis

Shekar Bose*

*المؤلف المقابل لهذا العمل

نتاج البحث: المساهمة في مجلةمراجعة النظراء

9 اقتباسات (Scopus)


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.

اللغة الأصليةEnglish
الصفحات (من إلى)283-297
عدد الصفحات15
دوريةInternational Economic Journal
مستوى الصوت18
رقم الإصدار3
المعرِّفات الرقمية للأشياء
حالة النشرPublished - سبتمبر 2004

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