Modelling the Asymmetric Volatility in Hog Prices in Taiwan
The Impact of Joining the WTO
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.
|Keywords||asymmetry, conditional volatility models, hog prices, joining the WTO, leverage, moment conditions|
|Publisher||Erasmus School of Economics|
|Series||Econometric Institute Research Papers|
|Journal||Report / Econometric Institute, Erasmus University Rotterdam|
Chang, C-L, Huang, B-W, & Chen, M-G. (2010). Modelling the Asymmetric Volatility in Hog Prices in Taiwan (No. EI 2010-46). Report / Econometric Institute, Erasmus University Rotterdam (pp. 1–36). Erasmus School of Economics. Retrieved from http://hdl.handle.net/1765/20160