Modeling Asymmetric Price Volatility for Tehran Province’s Chicken Market

مجله اقتصاد و توسعه کشاورزی

Article 6, Volume 27, Issue 2, July 2013, Pages 134-143   

Document Type: Research Article

DOI: 10.22067/jead2.v0i0.26412

Authors

M. Ghahremanzadeh^* ; T. Aref Eshghi

Department. of Agricultural Economics, Faculty of Agriculture University of Tabriz

Abstract

The price fluctuations of chicken and its production inputs are one of the main challenges in broiler industry which affects the producer and consumer‘s welfare. This study investigates the price fluctuations of broiler and the price fluctuations of the two important inputs of broiler production -e.g. one day-old chick and soybean meal- in Tehran province. To achieve the purpose, the non-linear GARCH model (EGARCH، TGARCH، GJRGARCH، NGARCH) were estimated, using weekly data during the years 2006-2011. Analyzing non-linear GARCH models, the results presented that the TGARCH, EGARCH and GJRGARCH are the best models for broiler price, one day-old chick and soybean meal, respectively. Analyzing different forms of non-linear GARCH models revealed that the TGARCH, EGARCH and GJRGARCH are the best ones for broiler price, one day-old chick and soybean meal, , respectively. The results show that there is leverage effect for all three sets of prices. This indicates that the negative shocks and positive shocks have different effects on the price fluctuations. The bad news has greater impacts on the price fluctuations than the good news.

Keywords

News effect; one Day-old chick; Soybean meal; Broiler; Non- linear GARCH models; Price fluctuations