Asymmetric Price Volatility Transmission in Agricultural Supply Chains: Evidence from the Chinese Pork Market
Table 6
Estimation results for the asymmetrical BEKK-MGARCH model.
Parameter
Full sample
Subsample I
Subsample II
Coefficient
Std error
Coefficient
Std error
Coefficient
Std error
Conditional mean equation
0.001
0.002
−0.001
0.002
0.002
0.002
0.324
0.080
−0.317
0.109
0.374
0.061
0.937
0.108
0.425
0.146
0.952
0.105
−0.540
0.159
0.917
0.204
−0.652
0.170
0.001
0.002
0.001
0.001
0.001
0.002
0.091
0.062
−0.018
0.057
0.153
0.055
0.781
0.147
0.185
0.101
0.941
0.104
−0.482
0.168
0.334
0.139
−0.814
0.168
−0.001
0.001
0.001
0.001
−0.001
0.001
0.046
0.039
−0.073
0.044
0.069
0.033
0.687
0.073
0.574
0.082
0.731
0.071
−0.290
0.099
−0.013
0.100
−0.385
0.117
Conditional variance equation
0.013
0.003
0.009
0.003
0.014
0.005
0.010
0.003
−0.004
0.002
0.004
0.005
0.008
0.002
0.002
0.003
0
0.004
0.004
0.002
0.001
0.001
−0.001
0.003
0.005
0.001
−0.001
0.001
0
0.004
0
0.004
0
0.003
0
0.002
0.422
0.112
0.148
0.134
0.473
0.187
0.041
0.083
−0.314
0.081
−0.091
0.134
−0.018
0.046
−0.179
0.047
−0.103
0.081
−0.286
0.139
0.013
0.235
−0.646
0.2
0.043
0.135
0.670
0.15
−0.387
0.183
−0.179
0.073
0.632
0.114
−0.544
0.113
−0.086
0.191
0.706
0.232
0.226
0.313
0.042
0.153
0.219
0.144
0.737
0.229
0.421
0.104
−0.023
0.145
1.015
0.207
0.403
0.123
0.289
0.186
0.142
0.205
−0.153
0.092
0.312
0.089
−0.405
0.11
−0.169
0.071
−0.065
0.057
−0.182
0.079
−0.498
0.175
0.722
0.315
0.068
0.168
0.559
0.062
0.105
0.229
1.161
0.116
−0.141
0.041
0.027
0.147
0.280
0.072
1.363
0.231
−0.190
0.225
0.989
0.298
0.526
0.135
0.110
0.145
−0.020
0.233
1.130
0.097
0.665
0.097
0.670
0.164
0.452
0.186
1.713
0.261
1.306
0.363
0.359
0.131
0.283
0.154
1.606
0.337
0.176
0.072
0.335
0.1
0.635
0.183
−0.561
0.193
0.184
0.367
−1.148
0.387
−0.684
0.185
0.583
0.278
−1.000
0.317
−0.358
0.113
0.638
0.187
−0.357
0.223
−0.094
0.374
−2.512
0.576
−0.241
0.562
0.048
0.27
−1.130
0.31
−1.239
0.448
−0.099
0.184
−1.530
0.253
−0.639
0.334
Shape (GED) or t-degree
2.038
0.187
−−
−−
4.049
0.922
Note. Subscripts 1, 2, and 3 refer to piglet, hog, and pork, respectively. Parameters in the conditional mean and variance equations are as defined in the model. The shapes in full sample and subsample II are the shape of GED distribution and t-degree of student-t distribution. The symbols ,, and indicate statistical significance at the 10%, 5%, and 1% level, respectively.
