육류시장의 가격변동성, 계절성 및 요일효과

• 영문명: Price Volatility, Seasonality and Day-of-the Week Effect in Meat Markets
• 발행기관: 한국농식품정책학회
• 저자명: 윤병삼(Byung Sam Yoon)
• 간행물 정보: 『농업경영.정책연구』농업경영·정책연구 35권 1호, 21~38쪽, 전체 18쪽
• 주제분류: 농수해양 > 식품과학
• 파일형태: PDF
• 발행일자: 2008.03.31

영문 초록

This paper examines the characteristics of price volatility in meat markets and determines the seasonality and day-of-the-week effect on daily log price changes(daily returns) and conditional variance(volatility). The empirical study was conducted using the ARCH(Autoregressive Conditional Heteroskedasticity) model from January 2000 to December 2006. Results show the volatility clustering in meat price changes, characterized by large changes followed by large changes and small changes followed by small changes. Results also indicate the significant presence of the seasonality and day-of- the-week effect on both daily price changes(returns) and volatility.

목차

Abstract

I. 머리말

II. 분석자료 및 방법

III. 분석결과

IV. 요약 및 결론

참고문헌

키워드

Price Volatility ARCH Seasonality Day-of-the-week Effect Volatility Clustering