Modeling Asymmetric Price Volatility for Tehran Province's Chicken Market

The price fluctuations of chicken and its production inputs are one of the main challenges in broiler industry which affects the producer and consumer‘s welfare. This study investigates the price fluctuations of broiler and the price fluctuations of the two important inputs of broiler production -e. g. one day-old chick and soybean meal- in Tehran province. To achieve the purpose، the non-linear GARCH model (EGARCH، TGARCH، GJRGARCH، NGARCH) were estimated، using weekly data during the years 2006-2011. Analyzing non-linear GARCH models، the results presented that the TGARCH، EGARCH and GJRGARCH are the best models for broiler price، one day-old chick and soybean meal، respectively. Analyzing different forms of non-linear GARCH models revealed that the TGARCH، EGARCH and GJRGARCH are the best ones for broiler price، one day-old chick and soybean meal،، respectively. The results show that there is leverage effect for all three sets of prices. This indicates that the negative shocks and positive shocks have different effects on the price fluctuations. The bad news has greater impacts on the price fluctuations than the good news.