육류시장의 가격변동성, 계절성 및 요일효과

Price Volatility, Seasonality and Day-of-the Week Effect in Meat Markets

This paper examines the characteristics of price volatility in meat markets and determines the seasonality and day-of-the-week effect on daily log price changes(daily returns) and conditional variance(volatility). The empirical study was conducted using the ARCH(Autoregressive Conditional Heteroskedasticity) model from January 2000 to December 2006. Results show the volatility clustering in meat price changes, characterized by large changes followed by large changes and small changes followed by small changes. Results also indicate the significant presence of the seasonality and day-of- the-week effect on both daily price changes(returns) and volatility.