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This study revisits the empirical relationship between output volatility and output for twelve OECD countries. An extended AR-EGARCH-M model was used to identify the structural break, asymmetric effect, jump effect and spillover effect. In addition to the classical logarithmic definition of growth, the study uses the Hodrick-Prescott filter to compute the deviations from the long-term trend as the output gap. The empirical results show that (i) the effect of output volatility on output differs across countries under the same model specifications; and (ii) while the in-mean effect and spillover effect are stronger for the output gap-based models, the jump effect has a major effect on output volatility under the classical logarithmic definition. [ABSTRACT FROM AUTHOR]

The cancellation of mass gatherings was one of the earliest measures implemented to combat the spread of COVID-19. One of the sectors affected by this situation was sports organizations. The study aimed to analyze the impact of COVID-19 on the returns and volatility of football club stocks using mean and variance estimates. In line with this aim, the Stoxx Football Index was used to estimate the stocks of football clubs, and a dummy variable was used to estimate the effect of COVID-19. According to the analyses, it was found that COVID-19 had a negative and statistically significant impact on football index revenue. On the other hand, the results of the second moment analysis, the EGARCH-X model, suggested an increase in the Stoxx Football Index conditional variance (volatility) due to COVID-19. [ABSTRACT FROM AUTHOR]

This research explores the impact of five macroeconomic variables volatilities on the fluctuations of stock markets returns, considering five countries from MENA zone. We contribute to the existing literature by introducing a new framework based on an EGARCH model that combine simultaneously five macroeconomic variables as explicative powers that has never been established before in such an issue. An economic examination in presented about the impact of several key macroeconomic variables prices and volatilities on different stock markets returns. Empirically, four GARCH models are tested and interpreted. The results are of great interest for portfolio managers and international investors since detecting the source of stock market volatility is an actual issue. According to the findings, we conclude that stock markets dynamics are not influenced by the same fluctuations of the same macroeconomic variables, depending on different factors that are revealed and explained. [ABSTRACT FROM AUTHOR]

Stock liquidity plays important role in investors’ participation in any nation’s stock market. The global pandemic shock created market illiquidity especially among developing stock market like Nigerian stock market. However, the emergence of global pandemic via COVID-19 pandemic triggered declined market turnover (stock liquidity) which in turn created lack of confidence among stock investors in Nigeria. This study therefore examined the effects of Global pandemic on stock liquidity in the Nigerian stock market using stock turnover and COVID-19 pandemic as measure for stock market liquidity and global pandemic. The study employed expost facto research design using weekly data of both corona-virus pandemic and stock market turnover within the period of March, 2019 to February, 2022. The study employed Exponential GARCH (EGARCH) model and found a considerable negative consequence of Global Pandemic (Covid-19) on stock liquidity, implying that corona-virus pandemic has brought bad information (bad news) which deteriorate the liquidity in the stock exchange market. The study concluded that COVID-19 pandemic shock reduces stock liquidity in Nigerian stock exchange market. The study however recommended that government should put in place more palliative policies such as tax incentive and lowest interest rate on loan to individual and institutional investors which will cushion effect of COVID-19 pandemic and increase investors’ participation in the Nigerian stock market. Also, Nigeria stock market regulators should put in place sound measures that will enhance availability of stock information so as to arouse the interest more and new investors to the Nigerian Stock Market. [ABSTRACT FROM AUTHOR]

Copyright of Journal of International Social Research is the property of Journal of International Social Research and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

This study employed the SDLOG and EGARCH model to examine Exchange Rate Uncertainty and Variations in Prices for a range of food commodities in Lagos State, Nigeria, from 2001 - 2016. The results showed evidences of persistent food price volatility and exchange rate volatility. Asymmetric effects of shocks in favour of price increase were detected. In addition, Exchange rate variations had significant effect on the price volatility of some food commodities. We suggest that greater attention should be given to the (high) level of food prices, which could mar decisions of farmers and marketers, and reduce demand for affected food commodities. [ABSTRACT FROM AUTHOR]

The characteristics of understanding the asset's behavior is examined in terms of influence of its past information or shock on its return behavior on the different broad market indices from NSE (National Stock Exchange). The GARCH family models were used to find best model fit based on the Akaike Info Criteria and Schwarz Info Criteria. From the empirical results, it is found that all the characteristics in regard to the spillover, persistence of volatility and leverage effect are persuading the variance on the selected index spot return during the selected sample periods. [ABSTRACT FROM AUTHOR]

This paper sought to examine the impacts of the exchange rate and interest rate volatility on stock market returns within the economies of three major African countries namely, Ghana, Nigeria and South Africa using Exponential General Autoregressive Conditional Heteroscedasticity (EGARCH) and Threshold GARCH (TGARCH) also known as GJR-GARCH estimation methods. We find a positive shock to interest rate and exchange rate lead to persistence rise in the price levels over the 60-month horizon. We find the majority of coefficients are positive compared to negative coefficients. Our results indicate that response asymmetries of positive and negative impact interest rate and exchange rate changes on all stock market returns. Overall, country-analysis suggests that coefficients of interest rate and exchange rate for Ghana are typically negative. Both GJR-GARCH and EGARCH methods show that good news has an impact on volatility more than bad news under different assumptions. [ABSTRACT FROM AUTHOR]

In this paper, we estimate the conditional volatility in the excess returns of the real estate investment trust index and Borsa Istanbul 100 index. Three models which are GARCH, EGARCH and GARCH-GJR to their daily excess return were applied and compared. Results showed that GARCH model fails to account for coefficient restrictions, asymmetry and leverage effect. EGARCH and GARCH-GJR succeed to encompass those limitations. Moreover, EGARCH is the most efficient model to estimate the conditional beta in this study. [ABSTRACT FROM AUTHOR]

In this article our goal is to studying the stationary condition of EGARCH time series model which is proved by Nelson (1991) but what we did is to prove it with more simple and clearly defined method and this is done by using a dynamical approximation relying on local linearization method in the neighborhood of a non-zero singular point of EGARCH model. This method is being used to approximate a Nonlinear model to a linear autoregressive model. Beside that we found the orbitally stability condition of a limit cycle of EGARCH(1,1) model if the model possess it. [ABSTRACT FROM AUTHOR]

This paper investigates the domestic stock market reaction to the announcement of South Africa winning the bid to host the 1995 Rugby World Cup, 2003 Cricket World Cup, and 2010 FIFA World Cup as well as Morocco concurrently losing the hosting competition for the 2010 FIFA World Cup. We used Event Study and EGARCH models. For Event Study, we evaluated normal market performance using 250 daily stock returns, while abnormal returns were tested within a 41-day (-20, +20) event window. The test was replicated using 2,227 daily compounded stock returns for the EGARCH model. Based on both the Event Study and EGARCH models, our findings show that the stock market responded positively to the hosting of mega-sport events for the bid winner (South Africa) and reacted negatively to the bid loser (Morocco). The results are statistically significant at conventional test levels. The findings support policy decisions that welcome mega-sport events. [ABSTRACT FROM AUTHOR]

The paper seeks to investigate the effect of both internal and external macroeconomic on stock market return volatility in Ghana and Nigeria over 16 year period of January 2000 to December 2016. The study employs time series approach to investigate the impact of lag of stock market return, consumer price index, 91 days Treasury bill rate exchange rate between domestic currency and US dollar, real domestic product, international crude oil prices, London Stock Exchange all share index and political cycle (independent variables) on stock market volatility of Ghana and Nigeria (dependent variables). It uses Exponential Generalised Autoregressive Conditional Heteroskedascity (EGARCH) as the main model. The results from the study indicate that macroeconomic/political factors affect stock market volatility. This is one of the few studies on Ghana and Nigeria and probably on Africa which tests for stock market volatility as a result of internal and external macroeconomic variable fluctuations. [ABSTRACT FROM AUTHOR]

Abstract This paper reviews eight software packages when estimating asymmetric GARCH models (from their default option). We consider the numerical consistency of GJR-GARCH, TGARCH, EGARCH and APARCH estimations with Normal and Student distributions as well as out-of-sample forecasting accuracy, using the model confidence set procedure. We show that results are clearly software-dependent for both asymmetric volatility models, especially for the t -ratios. The out-of-sample forecast results show that the differences in estimating symmetric and asymmetric GARCH models imply slight differences in terms of forecast accuracy, not statistically significant, except in few cases from the QLIKE loss function. Further, the results indicate that the different specifications of the asymmetric GARCH-type models used by the different packages appear to have no significant effect on their forecast accuracy. [ABSTRACT FROM AUTHOR]

There would be rise in LNG shipping business with USA and Australia looking to boosts exports with promising new tonnages from the year 2018. The shipping Charter rates have seen great rise in 2011 but recently have dropping low due increase in supply of ships and limited growth in cargo. The order book of LNG is looking promising there is a need to understand the volatility of LNG charter rates and New Shipbuilding prices as huge capital investment is made in ordering these vessels. The paper analyses asymmetric relationship between New Shipbuilding prices and Short Term Charter rates of LNG shipping using VECM-EGARCH model. The results show existence of long term relationship between new shipbuilding prices and Short term charter rates. [ABSTRACT FROM AUTHOR]

This paper analyses the impact of German macroeconomic news announcements and ECB meeting days on the conditional volatility of the Czech, Polish, and Hungarian Foreign Exchange markets as proxied by CZK/EUR, PLN/EUR, and HUF/EUR exchange rate returns over six years (2010-2015). A currency intervention period (11/2013-2015) in the Czech Republic is examined separately. EGARCH-type models with normal and Student's t-distributions are employed. The comprehensive analysis shows the following results. (i) The IFO index, Factory Orders increase and the PMI index from the Service Sector, the labour market data decrease conditional volatility of PLN/EUR. (ii) The IFO index and Industrial Production increase conditional volatility of HUF/EUR on the day of the announcement. (iii) Data from the labour market has a calming effect on CZK/ EUR after the central bank launched currency interventions. (iv) IFO index increases and the PMI index from the Manufacturing Sector decreases conditional volatility of CZK/EUR before currency interventions were introduced (2010-11/2013). [ABSTRACT FROM AUTHOR]

• We examine whether green assets can hedge against the EPU. • Asymmetric time-varying connectedness and EGARCH models are performed on daily data. • An evident asymmetric connectedness exists between green assets and EPU. • Green bond, green stocks, and carbon emission allowance can hedge against EPU. • The MVP and MCoP approaches are preferred in pre- and post-COVID-19 period, respectively. This paper examines whether green assets can hedge against economic policy uncertainty (EPU) via asymmetric time-varying connectedness and EGARCH models. Using daily data in China spanning from March 2014 to June 2022, we find that (1) an evident asymmetric connectedness exists between green assets and EPU. (2) Green bond, carbon emission allowances and some green stocks can act as hedging or safety-haven assets against EPU, and the conclusion remains robust to an alternative proxy of EPU. (3) The minimum variance and connectedness portfolios provide superior performance during pre- and post-COVID-19 periods, respectively, thereby carrying substantial portfolio implications. [ABSTRACT FROM AUTHOR]

This paper estimates and forecasts West Texas Intermediate (WTI) crude oil market volatility with GARCH, EGARCH models. We find that, in terms of Root Mean Squared Error (RMSE) criteria, EGARCH model outperformances GARCH model in both short term and long term forecast length. Then, we apply Markov Switching model on oil volatility term and find that we can improve forecast accuracy of oil market volatility further with MSGARCH model, when compared with normal GARCH and normal EGARCH model. Besides, empirical results confirm that two regimes consist of regime 1 with low volatility and regime 2 with high volatility exist in WTI crude oil market. Also, the smoothed probabilities indicate that before 2004, WTI crude oil market stays in a low volatility regime most of time, while after 2004, WTI crude oil market switches to high volatility regime and stays in it until present most of time. [ABSTRACT FROM AUTHOR]

We investigate whether: (i) co-skewness and co-kurtosis are significant factors in modeling hedge fund (HF) returns, (ii) HF return volatility displays clusters, asymmetry and shock persistence, (iii) volatility clusters of HF styles drive volatility clusters of one another, major asset classes, and major banking organizations, (iv) HF return and volatility patterns changed after the financial crises of 1998 and 2007–2009. A higher-moment EGARCH model and monthly data over January 1993–April 2014 period on 13 HF styles are employed. Out-of-sample forecasts are generated over the period of May 2014–April 2016. Results show: (i) most of the co-skewness and co-kurtosis coefficients are statistically significant, strongly supporting the higher-moment return generating models; (ii) there is strong evidence in favor of EGARCH specification, volatility clustering, asymmetry, and shock persistence; (iii) there were distinct effects on the returns and volatilities of HFs during the 1998 Russian bond crisis, Long-Term Capital Management crisis, and the 2007–2009 financial crisis; and (iv) shocks to volatility clusters of a HF style do spillover to other HF styles, major banking firms, and key asset classes. Our findings have major implications for regulators, investors, HF managers and hedging strategists. [ABSTRACT FROM AUTHOR]

This paper investigates the presence of the leverage effect in commodities, in comparison with financial markets. The EGARCH model with a Mixture of Normals distribution (EGARCH-MN) is used to capture (i) heavy tails and skewness in the conditional returns, and (ii) leverage effects and time-varying long-term component in the volatility specification. Besides, the estimation strategy relies on an innovative recursive (REC) method, which allows disentangling the leverage effect from the unconditional skewness as an empirical result. When applied to a broadly diversified dataset of assets during 1995–2012, the EGARCH-MN models offers state-of-the-art specifications with leverage and fat-tailed skewed densities, that allow to contrast the specific characteristics of commodities with traditional assets (equities, bonds, FX). [ABSTRACT FROM AUTHOR]

There is large variation in the leverage effect on each weekday. In the past 15 years, the average difference between the impact of negative and positive stock return innovations on future volatility in the S&P 500 Index is 45% on Monday, 14% on Tuesday, 60% on Wednesday, 6% on Thursday, and 28% on Friday. This variation is not predicted by any prevailing hypothesis on why there is a leverage effect. [ABSTRACT FROM AUTHOR]

Copyright of Revista de Economia e Sociologia Rural is the property of Sociedade Brasileira de Economia e Sociologia Rural and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Diversification purpose is to increase returns and reduce risk. In the context of the new architecture of European financial market, our purpose is to compare the behavior of the CAC 40 index and of the Euronext 100 index in the last 10 years, to identify commonalities in investing in the two indices, and an econometric model that takes into account the heteroskedasticity of financial series. Thus, by choosing the EGARCH model for both series, we can consider that due to financial integration, a shock that manifests in a national market has also repercussions on the European market. [ABSTRACT FROM AUTHOR]

This paper uses daily data to investigate the behavior of institutional investors in Taiwan's stock market. We adopted TGARCH and EGARCH models to test various news. We found that, for the entire sample, a significant clustering phenomenon exists in the investment behavior of three institutional investors, and the impact due to a change of news content shows significant asymmetry and leverage effects. That is, the impact of bad news from the market is stronger than that of good news. In addition, an asymmetric phenomenon can also be seen for the international news aspect as responded to by foreign institutional investors. This phenomenon is more significant than those of the dealers and institutional trust investors. Moreover, the asymmetric phenomenon as responded to by the dealers for domestic news is more significant than those of foreign investors and institutional trust investors. [ABSTRACT FROM AUTHOR]

In this study, we test for the possible contagion effects of the 10-year Greek government bond yield. We first employ the well-documented adjusted correlation coefficient of Forbes and Rigobon (2002) and then we estimate an exponential generalized autoregressive conditional heteroskedasticity model extended for volatility spillovers. Finally, we propose an extension of the corrected Dynamic Conditional Correlation (cDCC) model, which allows for structural breaks in the correlation dynamics. The suggested cDCC specification provides a natural testing framework for the correlation contagion hypothesis. Compared with other similar approaches, the proposed structural break cDCC approach allows for consistent inferences. The results do not confirm any contagious effects stemming from the 10-year Greek sovereign bond. [ABSTRACT FROM AUTHOR]

This paper used EGARCH estimation techniques to analysis data sourced from 1985 to 2012 on the Nigerian economy to examine the ability of All Share Index to hedge against inflation in Nigeria. It relies on the Discount Cash Flow theory to examine this relationship. The results show that All Share Index provides a good platform to hedge against inflation in Nigeria. It is therefore recommends that investors on the one hand should adopt share pricing mechanism when hedging against inflation is in view. For policy makers on the other hand, policy that will advance the stock market should be put in place when controlling inflation is being pursued. [ABSTRACT FROM AUTHOR]

Abstract: The future market in china has been developed for 20 years and now it enters its golden age. New futures contract has accelerated to be listed for trading and the structure of the market has been accomplished in the past years. It is important to research the effect of new futurescontract on those who have been traded. And the markets participants incline to pay attention to the volatility of future price as it is one of the most important properties of futures contract. This paper uses EGARCH model to research the effect of new kinds of future on the price volatility of existing kinds, taking 8 kinds of metal futures listed in Shanghai Future Exchange for example. And it comes out that the price volatility of the existing contract would reduce after the new ones come into market. [Copyright &y& Elsevier]

Copyright of Investigación Económica is the property of Universidad Nacional Autonoma de Mexico, Facultad de Economia and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

This study investigates the effect of sporting performances on the volatility of listed football clubs. The theoretical background is based on the importance of intangible assets in the football industry and the difficulty in evaluating them. The empirical analysis is based on the family of autoregressive conditional heteroskedasticity (ARCH) models and relates to a sample of football clubs listed on the Alternative Investment Market (AIM) and included in the Dow Jones STOXX Football Index. The findings show that sporting performances have a significant impact on the volatility of listed football clubs. The magnitude of the market reaction depends on the result nature (defeat, draw, or win) and the match venue (home or away). This study fills a gap in the empirical literature by providing a level of analysis unmatched by previous research. Thus, it should be of interest to academics as well as investors in better understanding and evaluating the volatility movements of listed football clubs. [ABSTRACT FROM AUTHOR]

The latest research highlights the existence of the asymmetry of the volatility of business cycles. In this context, in this paper we firstly aim to test whether the volatility of business cycles in Romania is constant or not and then, according to the identified result we try to model it. For the determination of business cycles of Romania we use the index of the industrial production registered during the period January 2000 - May 2011. The estimation of the business cycles is conducted by means of the Hodrick-Prescot filter. The results obtained confirm that the volatility of business cycles of Romania is not constant and suggest the possibility of taking into account the heteroscedastic models. The estimation of the EGARCH model shows that Romania's business cycles present an asymmetric volatility. Keywords: asymmetric volatility, EGARCH, Hodrick-Prescot filter. [ABSTRACT FROM AUTHOR]

Copyright of Revista de Economia e Administração is the property of INSPER Instituto de Ensino e Pesquisa and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

This paper is a first attempt to measure and analyze inflation uncertainty in Pakistan. It makes several contributions to the literature. In the first stage, using quarterly data from 1976:01 to 2008:02, we model inflation uncertainty as a time varying process using the GARCH framework. In the second stage, we analyze the asymmetric behavior of inflation uncertainty using the GJR- GARCH and EGARCH models. For further analysis of asymmetry and leverage effects, we develop news impact curves as proposed by Pagan and Schwart (1990). Finally we investigate the causality and its direction between inflation and inflation uncertainty by using the bivariate Granger-Causality test to determine which inflation uncertainty hypothesis (Friedman-Ball or Cukierman-Meltzer) holds true for Pakistani data. We obtain two important results. First, the GJR-GARCH and EGARCH models are more successful in capturing inflation uncertainty and its asymmetric behavior than the simple GARCH model. This can also be seen from news impact curves showing a significant level of asymmetry. Second, there is strong evidence that the Friedman-Ball inflation uncertainty hypothesis holds true for Pakistan. [ABSTRACT FROM AUTHOR]

Abstract: This paper explores differences in the impact of equally large positive and negative surprise return shocks in the aggregate U.S. stock market on: (1) the volatility predictions of asymmetric time-series models, (2) implied volatility, and (3) realized volatility. Following large negative surprise return shocks, both asymmetric time-series models (such as the EGARCH and GJR models) and implied volatility predict an increase in volatility and, consistent with this, ex post realized volatility normally rises as predicted. Following large positive return shocks, asymmetric time-series models predict an increase in volatility (albeit a much smaller increase than following a negative shock of the same magnitude), but both implied and realized volatilities generally fall sharply. While asymmetric time-series models predict a decline in volatility following near-zero returns, both implied and realized volatility are normally little changed from levels observed prior to the stable market. The reasons for the differences are explored. [Copyright &y& Elsevier]

In this paper, we analyze the traditional-revisionist debate on whether high interest rate can defend the downfall in currency values by allowing for asymmetric responses of exchange rate to positive and negative changes in the interest rate using Thailand data. Applying an EGARCH specification with long span of data, we find evidence in support of the revisionist view. Namely, while the decline in the interest rate may lead to currency depreciation, we find no evidence that high interest rate appreciates the currency. Instead, albeit small in magnitude, high interest rate tends to lead to further depreciation. Thus, the policy of high interest rate to defend the currency can be futile and costly. [ABSTRACT FROM AUTHOR]

Univariate volatility models are applied to UK tourism demand to the country''s most popular international destinations. Volatility is a concept borrowed from Finance. The fact that significant volatility models are found for ten of the twelve destinations examined shows that the volatility concept has relevance to tourism demand. Volatility models are able to quantify the impacts of positive and negative shocks on tourism demand. The impacts of negative shocks vary in magnitude and duration according to the destination involved and the nature of the shock. The forecasting capability of these models has never been assessed in the tourism field. They are shown to generate highly accurate forecasts, but become optimal when combined with forecasts obtained from exponential smoothing models. Two methods of combining individual forecasts are considered. Bias in individual volatility and smoothing models and in combinations of them is examined. [Copyright &y& Elsevier]

• We analyze the impact of the COVID-19 outbreak on the variance of stock returns. • We employ series of major stock market and sector indices. • We use the Skewed-t distribution with EGARCH augmented with a volatility shift dummy. • We show there is a shift in the return distribution variance caused by the pandemic. • We oversee the COVID-19 e on downside risk measured by Value-at-Risk. We analyze the impact of the COVID-19 pandemic on the conditional variance of stock returns. We look at this effect from a global perspective, so we employ series of major stock market and sector indices. We use the Hansen's Skewed-t distribution with EGARCH extended to control for sudden changes in volatility. We oversee the COVID-19 effect on measures of downside risk such as the Value-at-Risk. Our results show that there is a significant sudden shift up in the return distribution variance post the announcement of the pandemic, which must be explained properly to obtain reliable measures for financial risk management. [ABSTRACT FROM AUTHOR]

The study of volatility spillovers provides useful insights into how information is transmitted from stock market to foreign exchange market and vice versa. This paper explores volatility spillovers between the Indian stock and foreign exchange markets. The results indicate that there exists a bidirectional volatility spillover between the Indian stock market and the foreign exchange market with the exception of S&P CNX NIFTY and S&P CNX 500. The findings of the study also suggest that both the markets move in tandem with each other and there is a long run relationship between these two markets. The results of significant bidirectional volatility spillover suggest that there is an information flow (transmission) between these two markets and both these markets are integrated with each other. Accordingly, financial managers can obtain more insights in the management of their international portfolio affected by these two variables. This should be particularly important to domestic as well as international investors for hedging and diversifying their portfolio. [ABSTRACT FROM AUTHOR]

In this paper we compare the performance of different GARCH models such as GARCH, EGARCH, GJR and APARCH models, to characterize and forecast financial time series volatility in Pakistan. The comparison is carried out by comparing symmetric and asymmetric GARCH models with normal and fat-tailed distributions for the innovations, over short and long forecast horizons. The forecasts are evaluated according to a set of statistical loss functions. Daily data on the Karachi Stock Exchange (KSE) 100 index are analyzed. The empirical results demonstrate that the use of asymmetry in the GARCH models and the assumption of fat-tail distributions for the innovations improve the volatility forecasts. Overall, EGARCH fits the best while the GJR model, with both normal and non-normal innovations, seems to provide superior forecasting ability over short and long horizons. [ABSTRACT FROM AUTHOR]

Price volatility spillovers in the U.S. catfish supply chain are analyzed based on monthly price data from 1980 through 2000 for catfish feed, its ingredients, and farm- and wholesale-level catfish. The exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model was used to test univariate volatility spillovers for prices in the supply chain. Strong price volatility spillover from feeding material (corn, soybeans, menhaden) to catfish feed and farm- and wholesale-level catfish prices was detected. [ABSTRACT FROM AUTHOR]