Modeling Asymmetric Volatility: A News Impact Curve Approach

Seasonal production, weather abnormalities, and high perishability introduce a degree of volatility to potato prices. Price is said be asymmetric when positive negative shocks the same magnitude affect it in dissimilar way. GARCH symmetric model, cannot capture price volatility. EGARCH, APARCH, GJR-GARCH models are popularly used In this paper, an attempt made model weekly wholesale modal potatoes for Agra, Ahmedabad, Bengaluru, Delhi, Kolkata, Mumbai markets using above-mentioned models. The News Impact Curves (NICs) derived from fitted models, which confirmed presence asymmetry To end, NICs describe present different markets.