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首页> 外文期刊>Journal of Economics and Sustainable Development >Analysing Price Risk and Volatility in the Namibian Sheep Market: A Threshold Generalized Autoregressive Conditional Heteroskedasticity (TGARCH) Approach
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Analysing Price Risk and Volatility in the Namibian Sheep Market: A Threshold Generalized Autoregressive Conditional Heteroskedasticity (TGARCH) Approach

机译：分析纳米比亚绵羊市场的价格风险和波动性：阈值广义自回归条件异方差（TGARCH）方法

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The objective of this paper is to analyse sheep producer’s supply response under price risk and volatility using data from January 2000 to December 2013. Different Autoregressive Conditional Heteroscedastic (ARCH) processes were compared and TGARCH (1, 1) model was selected and used to estimate expected price and price volatility effects. The study found positive inelastic short-run supply price elasticity of 0.2184 for the Namibian sheep industry. The long-run own-price supply elasticity is more elastic than in the short-run (0.6817). The findings also show that the expected price volatility (-0.1385) has a negative and statistically significant effect on producer’s supply response, this implies that sheep supply declines as the price volatility increases. The volatility effects were found to be negatively asymmetric and persistent which implies that producers tend to respond more intensely in the case of a negative shock that reduces their margin than a positive shock. Sheep producer’s attitude towards risk can be said to be averse, this hypothesis was confirmed by calculating the relative marginal risk premium which is 0.0257. The value is close to zero and may suggest no strong departure from relative risk neutrality or marginal cost pricing.
机译：本文的目的是使用2000年1月至2013年12月的数据分析价格风险和波动性下的绵羊生产者的供应响应。比较了不同的自回归条件异方差（ARCH）过程，并选择了TGARCH（1，1）模型用于估计预期价格和价格波动影响。该研究发现纳米比亚绵羊产业的短期供应价格弹性为0.2184。长期自身价格供给弹性比短期（0.6817）更具弹性。研究结果还表明，预期价格波动（-0.1385）对生产者的供应响应具有负面影响，并且在统计上具有显着影响，这意味着绵羊的供应随着价格波动的增加而下降。发现波动性影响是负面的不对称和持久的，这意味着生产者倾向于在负面冲击比正面冲击降低利润的情况下做出更强烈的反应。绵羊生产者对风险的态度可以说是反感，这一假设通过计算相对边际风险溢价0.0257得到了证实。该值接近于零，可能表明与相对风险中性或边际成本定价没有很大的出入。

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