농업경제연구

Korean Agricultural Economics Association

제목 채소류가격의 비선형동학적 특성
저자 강태훈
발행정보 45권 1호 (2004년 3월) 페이지 83~101
초록 This paper shows the nonlinear dynamics of weekly price changes of vegetables such as cabbage, radish, garlic, onions, red pepper, carrot, and green onions, which are under vegetable supply stabilization program. As for the weekly rate of change, more observations are found at the center and at both tails of distribution than normal distribution, which implies the data are better explained by student distribution. Vegetable prices show volatility clustering that they are sometimes volatile but sometimes tranquil. Volatilities follow a fairly strong seasonal pattern. Conditional volatilities are estimated using GARCH(1,1)-t model. Results hsow that past shocks remain in the conditional volatility persistently in all of the vegetable prices under consideration except red pepper. In case of red pepper, the shock of one period ahead explains most of current conditional volatility and disappears fast.
논문파일 농업경제연구-2004(45권제1호)-04.pdf