본 연구는 Rolling Asymmetric VAR-BEKK-GARCH 모형으로 한·중·일·미 4개 주식 시장 변동성의 비대칭 전이효과를 분석하였다. 연구는 시장 변동성의 정태적인 전이 효과뿐만 아니라 시간가변적인 비대칭 전이효과를 파악하였다. 분석 결과에 따르면, 중국 시장 호황기에는 비대칭 변동성 전이효과의 부호가 대체로 음(-)으로, 시장 불황기나 불안정 시기에는 양(+)의 부호로 나타났다. 또한, 한국, 일본, 미국 등 시장의 충격이 중국 시장 변동성에 대한 영향은 비교적 일관된 방향성을 보이며, 반면에 중국발 충격이 타 시장의 변동성에 미치는 영향은 시간가변적인 특징을 나타냈다. 이는 중국 금융 시장의 동태적 특성을 파악하는 데 유의미한 시사점을 제공할 수 있다.

Squid is a popular seafood in Korea. However, since the 2000s, the squid production has been declining. The unstable supply of the squid products may cause price fluctuations of fresh and chilled squid. These price fluctuations may be relatively more severe than them of other commodities, because the fresh and chilled squid can not be stored for a long period of time. Thus, this study analyzes the structural characteristics of price volatility and price asymmetry of fresh squid based on off-diagonal GARCH model. Data used to analysis of this study are daily wholesale and retail prices of fresh squid from January 1, 2006 to December 31, 2016 provided in the KAMIS. As theoretical approaches of this study, first of all, the stability of the time series is confirmed by the unit root test. Secondly, the causality between distribution channels is checked by the Granger causality test. Thirdly, the VAR model and the off-diagonal GARCH model are adopted to estimate asymmetry effect and price volatility spillover between distribution channels. Finally, the stability of the model is confirmed by multivariate Q-statistic and ARCH-LM test. In conclusion, fresh squid is found to have shock and volatility spillover between wholesale and retail prices as well as its own price. Also, volatility asymmetry effect is shown in own wholesale or retail price of fresh squid. Finally, this study shows that the decrease in the fresh squid retail price of t-1 period than the increase in the t-1 period has a greater impact on the volatility of the fresh squid wholesale price in t period.

This study is to analyse the causality and volatility spillover between farming fish species in consumption replacement relation using flatfish(oliver flounder) and rockfish’s wholesale market price data from September 2006 to July 2015. For the analysis, VAR(5) model and bivariate asymmetric GARCH-BEKK model are employed. The empirical results of this study are summarized as follows: First, the price volatility of flatfish and rockfish is very large without the trend during the sample period. Second, the correlation coefficient between flatfish and rockfish wholesale markets has positive 0.1059 value. Third, causality relation is unidirectional from rockfish market to flatfish market. Fourth, conditional volatility spillover effect is unidirectional from rockfish market to flatfish market, but asymmetric volatility effect is bidirectional between flatfish and rockfish markets that implies the bad news arising from flatfish wholesale market impact on rockfish market’s volatility and the bad news arising from rockfish wholesale market impact on flatfish market’s volaltilty. Consequently, based on the thus results, the volatility spillover effect interacts and is bidirectional between flatfish and rockfish wholesale markets.