초록 열기/닫기 버튼
This study investigates the autoregressive conditional heteroscedasticity (ARCH) and generalized-ARCH (GARCH) effects in the price series of Australian South–East fishery’s quota species. It is found that in all cases significant ARCH and /or GARCH effects are present. To search for the origins of these effects a weakly exogenous variable (trading volume) is introduced to the conditional variance equation of the ARCH and GARCH models, provided that such effects are observed in the first stage of investigation. It is found that in fourteen cases the estimated coefficients of the trading volume are negative. In all cases, the 'trading volume' variable does not contribute to the removal of the ARCH and/or GARCH effects. Finally, the policy implications of the findings are discussed.
