Agricultural and Food Economics

Table 6 Empirical results for maize

From: Examining the determinants of global and local price passthrough in cereal markets: evidence from DCC-GJR-GARCH and panel analyses

	Volatility parameters			BIC criterion
	α	β	λ	AG-DCC	G-DCC
International price	− 0.150^d	1.064^d	0.030^d
Argentina	− 0.085	0.656	0.234	− 402.954	− 405.158 ^a
Brazil	0.349	0.133	0.228	− 426.321	− 433.002 ^a
Cameroon	− 0.071^d	1.068^d	− 0.154^d	− 455.892	− 463.972 ^a
Ethiopia	0.262	0.424^c	0.368	− 319.245	− 323.928 ^a
Israel	0.043	0.427^c	0.332	− 499.594	− 509.253 ^a
Mozambique	0.363	0.362^c	0.140	− 388.027	− 393.337 ^a
Nicaragua	0.303	0.922^d	− 0.365^b	− 273.952	− 281.632 ^a
Nigeria	− 0.077^d	1.057^d	− 0.067^d	− 321.374	− 330.102 ^a
Panama	− 0.006^d	1.050^d	− 0.145^d	− 465.026	− 473.103 ^a
Peru	1.661^c	0.015	− 1.693^c	− 613.493	− 617.421 ^a
Rwanda	− 0.079^d	1.054^d	− 0.023^c	− 306.454	− 316.819 ^a
Salvador	0.562^d	0.583^d	− 0.653^d	− 442.695	− 451.760 ^a
South Africa	− 0.118^d	1.057^d	0.008^d	− 402.535	− 409.473 ^a
Uganda	− 0.092^d	0.694^d	− 0.064^d	− 234.824	− 240.093 ^a
Ukraine	− 0.036	0.085	3.191^c	− 388.850	− 395.461 ^a
Zambia	− 0.198^d	− 0.232^d	0.777^d	− 406.124	− 416.187 ^a

^aThe lowest value of BIC. As the optimal lag length, the GJR-GARCH (1,1) model is selected for all price series
^b, ^c and ^d indicate statistical significance at the 10%, 5% and 1% levels, respectively

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