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(${\lambda}$) was estimated to be approximately 1 in aquacultural flatfish. The results showed that there is a significant negative relationship between the conditional variance of supply and that of price for aquacultural flatfish. This means that the general law of supply is valid. Finally, the empirical analysis was that an asymmetric coefficient (${\gamma}$) of GJR GARCH model was negative (-). This means that the higher volatility of volume leads to lower price volatility. That is, it is useful to make government policies that can adjust the volume (stockpiling, stabilizing supply and demand).


GJR GARCH;Price Volatilities;Volume Volatilities;Fishery Market;Aquacultural Flatfish;Volatility Clustering


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