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Title: |
Price volatility of South-east fishery's quota species: An empirical analysis |
| Author: |
Bose, Shekar |
| Author
Affiliation: |
Australian Maritime College, Tasmania, Australia |
| Source: |
International Economic Journal, September 2004, v. 18, no. 3, pp. 281-295 |
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Publication Date: |
September 2004 |
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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. |
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