Browsing by Author "Chauhan, Pradeep."

Filter results by typing the first few letters
Now showing 1 - 1 of 1
  • No Thumbnail Available
    Item
    Analysing volatility spillovers between grain and freight markets
    (Scientific Journal of Maritime Research, 2020-11) Bangar Raju, Totakura.; Bavise, Ayush; Chauhan, Pradeep.; Ramalingeswara Rao, B. V.
    The International Grain Council (IGC) circulates two price indices which are the Grain and Oilseeds Index (GOI) and the Grain and Oilseeds Freight Market Index (GOFI). These two indices indicate the respective market prices. The GOI markets are affected by various factors like supply and demand, weather, freight markets, etc. This research article attempts to explore and analyse volatility in GOI and GOFI markets using various GARCH family models, that is Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) analysis. The multivariate Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model (DCC GARCH) is used to find the spillovers between the two markets and thereby explore the effect of GOFI on GOI markets from the year 2013. The research article consists of four sections after introducing the subject namely a literature review, research methodology and models, analysis and conclusions of the study.