The linkage between international dairy commodity prices and volatility: a panel-GARCH analysis

Purpose The study's purpose is to investigate the price volatility of four dairy commodities (skim milk powder [SMP], whole [WMP], butter and cheddar cheese) in three most significant regional markets (EU, Oceania US) international market. Design/methodology/approach study uses a panel-Generalized Autoregressive Conditional Heteroskedastic (panel-GARCH) modeling technique data from January 12, 2001, April 28, 2017. Findings was higher during subperiods 2007–2010 2014–2016 when conditional cross-correlations between prices had lowest values. In some cases, they were negative (i.e. EU USA for both cheese). Interdependence across markets, especially SMP WMP market also strongly evidenced. responsible spillover shocks regions. Research limitations/implications set used should be extended cover COVID-19 pandemic period. Originality/value This first use panel-GARCH examine linkages, where previous studies mainly multivariate GARCH models. Panel-GARCH allows high-dimensional series 12 prices) generates potential efficiency gains estimating variances covariances by incorporating information about heterogeneity considering their interdependence.