Volatility and spillover in onion prices in major markets of Karnataka, India Paul Ranjit Kumar, Das Tanima, Panwar Sanjeev1, Paul A.K., Bhar L. M. ICAR-Indian Agricultural Statistics Research Institute, New Delhi-110012 1Indian Council of Agricultural Research, Krishi Bhavan, New Delhi-110001 Online published on 15 May, 2019. Abstract In the recent times, the price volatility has been the main centre of attention for the researchers also understanding the spillover effect of one market on the others is of great practical importance. It is therefore important to extend the consideration univariate Generalized autoregressive conditional heteroscedastic (GARCH) model to Multivariate GARCH (MGARCH) model. Various aspects of cointegration and vector error correction model have been discussed. In the MGARCH model, Baba-Engle-Kraft-Kroner (BEKK) and Constant Conditional Correlation (CCC) models are considered for modeling volatility of onion prices in two major markets of onion in Karnataka, India. It is concluded that that the two markets are cointegrated and there exists spillover effect among them. Top Keywords Heteroscedasticity, MGARCH model, Nonlinear Time-Series, Volatility. Top |