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Table 7 Estimation results for rice

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

0.688c

0.516c

− 0.414c

  

Bangladesh

2.085c

0.214c

− 2.315c

− 192.905

− 198.940 a

Brazil

− 0.076

0.767c

0.041

− 242.129

− 247.654 a

Cambodia

− 0.117

0.788c

0.166

− 173.528

− 181.743 a

Cameroon

− 0.174c

0.728c

0.575c

− 319.429

− 328.466 a

Colombia

− 0.195b

0.745c

0.101

− 182.443

− 189.825 a

Guatemala

− 0.161c

1.052c−

0.333c

− 242.224

− 244.561 a

Haiti

− 0.869c

0.857c

1.309c

− 143.635

− 151.554 a

India

− 0.475c

0.601c

0.516c

− 298.319

− 307.384 a

Mauritania

0.328c

0.858c

− 0.670c

− 272.869

− 282.281 a

Mozambique

− 0.362c

0.635c

0.116c

− 257.795

− 267.315 a

Nigeria

− 0.260c

− 0.452c

0.062c

− 271.459

− 278.909 a

Panama

− 0.256c

0.6865c

0.0731c

− 338.044

− 343.263 a

Peru

− 0.278c

1.043c

0.415c

− 328.766

− 335.351 a

Salvador

− 0.243b

0.900c

− 0.190

− 227.105

− 233.097 a

South Africa

− 0.224c

0.787c

0.623c

− 261.193

− 261.194 a

Uruguay

− 0.285c

1.051b

0.043c

− 179.948

− 188.233 a

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