Asymmetric Price Volatility Transmission in Agricultural Supply Chains: Evidence from the Chinese Pork Market

The asymmetric price volatility transmission issue in agricultural supply chains has been ignored the previous literature. This paper applies an asymmetrical MGARCH-BEKK model to investigate with application Chinese pork market. Additionally, we use Zivot–Andrews unit root test a structural break examine whether piglet, hog, and prices have breaks. results show that pork’s market breakpoint 2007M03 support existence of chains. Furthermore, spillover effects are different before after 2007M03.