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.