Nitesh pandey

Analysis of Oil Seeds & Grain Price Volatility in India: A VEC-MVGARCH Approach Nitesh Kumar Pandey England

Background ,[object Object],[object Object]

Commodities Under Study ,[object Object],[object Object],[object Object]

Wheat Price Volatility ,[object Object],[object Object],[object Object]

Wheat Price Volatility ,[object Object]

Wheat Price Volatility ,[object Object],[object Object]

Oil & Oilseeds ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Oil & Oilseeds ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Oil & Oil Seeds ,[object Object],[object Object]

Oil & Oil Seeds ,[object Object],[object Object],[object Object]

Overview of Edible Oil Economy ,[object Object],[object Object],[object Object]

[object Object],[object Object],[object Object],Overview of Edible Oil Economy

Overview of Edible Oil Economy (Quantity in Million Tonnes) Crop 2-Jan 3-Feb 4-Mar 5-Apr 05-06 (F) Major Oilseeds Groundnut 7 4.4 8.2 6 6.4 Rape/Mustard 5.1 3.9 6.2 6.6 7 Soybean 5.6 4.6 7.9 5.8 6.5 Other Six 3 2.2 3 3.7 3.6 Sub-Total 20.7 15.1 * 25.3 22.1 23.5 Others Cottonseed 5.1 4.5 5.5 6.6 8.5 Copra 0.9 0.7 0.7 0.7 0.6 Grand Total 26.7 20.3 31.5 29.4 32.6 * Reduced due to Drought.

[object Object],Overview of Edible Oil Economy

Market Potential ,[object Object],[object Object]

Demand Projection Edible Oil 2004 2010 2015 Total Demand (Mln. Tonnes) 10.9 15.6 21.3 Total Area under Oilseeds (Mln. Hectares) 23.4 28 32 Yield (Tonnes/hectare) 1.07 1.2 1.4 Production of Oilseeds (Mln. tonnes) 25.1 33.6 44.8 Domestic supply of edible oils (Mln. tonnes) 7 10.1 13.4 Total edible oil imports - (Mln. tonnes) 4.3 5.9 8.3 Imports as share of demand 39.40% 38.10% 39.50%

Demand Projection (Contd.) ,[object Object]

Increased support from the Government Year Minimum support Price Rs. per MT FY2001 11,000 FY2002 12,000 FY2003 13,000 FY2004 16,000 FY2005 17,000 FY2006 17,250

Increased support from the Government ,[object Object]

Spot Price Volatility (RM Seed Oil)

Spot Price Volatility (Refined Soy Oil)

Objectives ,[object Object],[object Object]

Objectives (Contd.) ,[object Object],[object Object]

Methodology ,[object Object],[object Object],[object Object],[object Object]

Standard Approach to Estimating Volatility ,[object Object],[object Object],[object Object]

Simplifications Usually Made ,[object Object],[object Object],[object Object],[object Object]

Weighting Scheme ,[object Object]

ARCH(m) Model ,[object Object]

EWMA Model ,[object Object],[object Object]

Attractions of EWMA ,[object Object],[object Object],[object Object],[object Object]

GARCH (1,1) ,[object Object],[object Object],[object Object]

GARCH (1,1) continued ,[object Object],[object Object]

Example ,[object Object],[object Object]

Example continued ,[object Object],[object Object],[object Object]

Maximum Likelihood Methods ,[object Object]

Example 1 ,[object Object],[object Object],[object Object]

Application to GARCH ,[object Object]

Variance Targeting ,[object Object],[object Object],[object Object]

How Good is the Model? ,[object Object],[object Object],[object Object]

Correlations and Covariances ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Updating Correlations ,[object Object],[object Object],[object Object]

Positive Finite Definite Condition ,[object Object],[object Object]

Modelling Volatility ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Modelling Volatility ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

AutoRegressive Conditional Heteroscedasticity (ARCH) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Generalised ARCH (GARCH) ,[object Object],[object Object],[object Object]

GARCH(1,1) Model ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

More about GARCH ,[object Object],[object Object],[object Object],[object Object]

Estimation of GARCH Models ,[object Object],[object Object],[object Object],[object Object],[object Object]

Maximum Likelihood ,[object Object],[object Object],[object Object],[object Object],[object Object]

Extensions ,[object Object],[object Object],[object Object],[object Object]

Leverage Effects ,[object Object],[object Object],[object Object],[object Object],[object Object]

GJR Model ,[object Object],[object Object],[object Object]

News Impact Curves ,[object Object]

Extensions ,[object Object],[object Object],[object Object]

GARCH-in-Mean ,[object Object],[object Object],[object Object]

Extensions ,[object Object],[object Object],[object Object],[object Object],[object Object]

Multivariate GARCH ,[object Object],[object Object],[object Object]

Multivariate GARCH ,[object Object],[object Object],[object Object],[object Object]

Application ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Interpretation ,[object Object],[object Object],[object Object],[object Object],[object Object]

Practical Uses ,[object Object],[object Object]

The Chavas Holt Methodology (1990)

Nitesh pandey

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