- Volume 15 Issue 10
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Influences of Volume Volatilities on Price Volatilities in the Fishery Market
수산물 거래량의 변동성이 가격변동성에 미치는 영향분석
- Ko, Bong-Hyun (Division of Economy and Industry Research in Jeju Development Institute)
- 고봉현 (제주발전연구원 경제산업연구부)
- Received : 2014.08.20
- Accepted : 2014.10.10
- Published : 2014.10.31
This paper presents the GJR GARCH model (Glosten et. al, 1993) to analyze the influences of volume volatilities on price volatilities in the fishery market. For the analysis, this study used the monthly price and volume data of aquacultural flatfish in Jeju. As a result, empirical analysis suggested volatility clustering. The persistency parameter(
GJR GARCH;Price Volatilities;Volume Volatilities;Fishery Market;Aquacultural Flatfish;Volatility Clustering
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