International Journal For Multidisciplinary Research

E-ISSN: 2582-2160   •   Impact Factor: 9.24

A Widely Indexed Open Access Peer Reviewed Multidisciplinary Bi-monthly Scholarly International Journal

Call for Paper Volume 6 Issue 6 November-December 2024 Submit your research before last 3 days of December to publish your research paper in the issue of November-December.
Submit Research Paper Join as a Reviewer

Plagiarism is checked by the leading plagiarism checker TurnItIn

Call for Paper

Volume 6 Issue 6
November-December 2024

Submit your research paper

Indexing Partners
Academia Advanced Sciences Index Bielefeld Academic Search Engine CiteSeer DRJI Google Scholar Independent Search Engine & Directory Network ISI (International Scientific Indexing) Issuu Mendeley Research Networks
RefSeek ResearcherId - Thomson Reuters ResearchGate Scirus Scribd Semantic Scholar UTeM - Universiti Teknikal Malaysia Melaka Wiki for Call for Papers WorldCat Zenodo

Volatility of Fish Prices in Manado City Using Multivariate GARCH Model

Author(s) Nelson Nainggolan, Hanny Andrea Huibert Komalig, Tohap Manurung, Dingse Pandiangan
Country Indonesia
Abstract Time series data modeling is generally performed using the assumption of homoscedasticity or residual variance that is constant over time. However, the homoscedasticity assumption cannot answer the problem of volatility in economic and business time series data, because generally data on economics and business have residual variances that always change over time. Therefore, a model developed with the assumption of not constant variance is known as heteroskedasticity model. Multivariate GARCH model is a development of the univariate GARCH model. The multivariate GARCH model can be viewed as a conditional heteroskedasticity model in a multivariate time series. This paper discusses the parameterization of covariance matrices such as Vech model representation, BEEK model and Constant Correlation model. For parameter estimation the maximum likelihood method is used. Furthermore, multivariate GARCH model application is applied for multivariate model. In this research, the data used are data on the prices of fresh fish in Manado. The fish price data is the price of Tuna, Skipjack (Cakalang), Cobe (Tongkol), Kite (Malalugis) and Selar fish (Tude). The ARCH effect test results show that the data meet the assumption of non-constant variance (heteroscedasticity). GARCH mutivariate modeling in the form of a VEC diagonal model gives the results of the price volatility of fresh fish in Manado
Keywords Multivariate GARCH Model, Fish Prices, Volatility
Field Mathematics > Statistics
Published In Volume 6, Issue 4, July-August 2024
Published On 2024-08-02
Cite This Volatility of Fish Prices in Manado City Using Multivariate GARCH Model - Nelson Nainggolan, Hanny Andrea Huibert Komalig, Tohap Manurung, Dingse Pandiangan - IJFMR Volume 6, Issue 4, July-August 2024. DOI 10.36948/ijfmr.2024.v06i04.25686
DOI https://doi.org/10.36948/ijfmr.2024.v06i04.25686
Short DOI https://doi.org/gt55xp
View / Download PDF File

Share this



E-ISSN 2582-2160
CrossRef

CrossRef DOI is assigned to each research paper published in our journal.

IJFMR DOI prefix is
10.36948/ijfmr

Downloads
Research Paper Format Copyright Permission Form and Undertaking Form Cover Page Vol 6 Isu 6Cover Page Vol 6 Isu 5Cover Page Vol 6 Isu 4

All research papers published on this website are licensed under Creative Commons Attribution-ShareAlike 4.0 International License, and all rights belong to their respective authors/researchers.

CC-BY-SA Open Access

About IJFMR
Fees & Payment
Current Issue
Publication Archive 		Submit Research Paper
Track Submission Status
Publication Guidelines
Publication Ethics
Peer Review & Plagiarism 		Join as a Reviewer
Editors & Reviewers
Reviewer Referral Program
Get Reviewer Membership Certi. 		Website/Journal Policies
Usage Policy
Content Policies
Privacy Policy
Contact Us +91-9898-5948-55 editor@ijfmr.com