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Investigating Salmon Price Volatility

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Abstract
  • An understanding of the structure of price volatility is of great interest since this is a major contributor to economic risk in the salmon industry. The volatility process in salmon prices was analyzed based on weekly price data from 1995 to 2007. The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model was used to test for volatility clustering and persistence of volatility for prices. We find evidence for and discuss the degree of persistence and reversion in the salmon price volatility. We further find that the usual assumption of an independent zero mean normally distributed error term is not satisfactory when describing the salmon price process.
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  • Oglend, Atle and Marius Sikveland. 2008. Investigating Salmon Price Volatility. 12 pages. In: Proceedings of the Fourteenth Biennial Conference of the International Institute of Fisheries Economics & Trade, July 22-25, 2008, Nha Trang, Vietnam: Achieving a Sustainable Future: Managing Aquaculture, Fishing, Trade and Development. Compiled by Ann L. Shriver. International Institute of Fisheries Economics & Trade, Corvallis, Oregon, USA, 2008.
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  • US National Oceanic and Atmospheric Administration (NOAA) Fisheries Division, The Department of Fisheries and Oceans, Canada; Aquaculture CRSP and AquaFish CRSP; Minh Phu Seafood Corporation; Vietnam Datacommunication Company (VDC); Camau Frozen Seafood Processing Import Export Corporation (Camimex); Long Sinh Limited Company; Mai Linh Group and Nam Viet Corporation.
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