PRICE VOLATILITY REGIME SWITCHING IN IRANIAN MEAT MARKET USEING MARKOV SWITCHING GARCH MODELS

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

RASOULI BEIRAMI ZAHRA; GHAHREMANZADEH MOHAMMAD; DASHTI GHADER

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: AGRICULTURAL ECONOMICS: IRANIAN JOURNAL OF AGRICULTURAL ECONOMICS (ECONOMICS AND AGRICULTURE JOURNAL) Year:2017 | Volume:11 | Issue:1 Page(s): 133-162

Download Full-Text

Persian Verion

View:

610

Download:

Cites:

Information Journal Paper

Title

PRICE VOLATILITY REGIME SWITCHING IN IRANIAN MEAT MARKET USEING MARKOV SWITCHING GARCH MODELS

Author(s)

RASOULI BEIRAMI ZAHRA | GHAHREMANZADEH MOHAMMAD | DASHTI GHADER | Issue Writer Certificate

Keywords

VOLATILITYQ1

REGIME SWITCHINGQ1

MARKOV CHAINSQ1

SMOOTHED PROBABILITIESQ1

TRANSITION PROBABILITIESQ1

Abstract

Price VOLATILITY and VOLATILITY REGIME SWITCHING of Iranian important livestock markets are modeled using hay, sheep, calf, mutton, and beef monthly return series over the period of April 1992 to March 2014, using Markov-switching generalized autoregressive conditional hetroscedastisity models. The results suggest the existence of two VOLATILITY regimes in all studied markets and frequently switching from one regime to another all except for hay. Hay market is the most homogeneous market in terms of VOLATILITY REGIME SWITCHING while mutton market is the most variable one. According to results, although the high VOLATILITY regime lasts less than low VOLATILITY regime, persictency of high VOLATILITY regime (at least 5 month) in producer and retailer meat markets and frequently switching from one regime to another lead to uncertainty of investing in meat production. It also leads to unpredictability of market condition and variability of consumer’s welfare.

Cites

No record.

References

No record.

Cite

APA: Copy

RASOULI BEIRAMI, ZAHRA, GHAHREMANZADEH, MOHAMMAD, & DASHTI, GHADER. (2017). PRICE VOLATILITY REGIME SWITCHING IN IRANIAN MEAT MARKET USEING MARKOV SWITCHING GARCH MODELS. AGRICULTURAL ECONOMICS: IRANIAN JOURNAL OF AGRICULTURAL ECONOMICS (ECONOMICS AND AGRICULTURE JOURNAL), 11(1 ), 133-162. SID. https://sid.ir/paper/124469/en

Vancouver: Copy

RASOULI BEIRAMI ZAHRA, GHAHREMANZADEH MOHAMMAD, DASHTI GHADER. PRICE VOLATILITY REGIME SWITCHING IN IRANIAN MEAT MARKET USEING MARKOV SWITCHING GARCH MODELS. AGRICULTURAL ECONOMICS: IRANIAN JOURNAL OF AGRICULTURAL ECONOMICS (ECONOMICS AND AGRICULTURE JOURNAL)[Internet]. 2017;11(1 ):133-162. Available from: https://sid.ir/paper/124469/en

IEEE: Copy

ZAHRA RASOULI BEIRAMI, MOHAMMAD GHAHREMANZADEH, and GHADER DASHTI, “PRICE VOLATILITY REGIME SWITCHING IN IRANIAN MEAT MARKET USEING MARKOV SWITCHING GARCH MODELS,” AGRICULTURAL ECONOMICS: IRANIAN JOURNAL OF AGRICULTURAL ECONOMICS (ECONOMICS AND AGRICULTURE JOURNAL), vol. 11, no. 1 , pp. 133–162, 2017, [Online]. Available: https://sid.ir/paper/124469/en

Related Journal Papers