Indian Agricultural Statistics Research Institute, New Delhi – 110 012.
The study has been conducted with the specific objectives of analyzing the price volatility effect in the multiple spot and future prices of mustard seeds using Garch model and validating the model by performing ARCH-LM (Lagrange multiplier) test. The study is based on the secondary data obtained from India stat and NCDEX sites for the period September 2005 to December 2009. The further price data belongs to NCDEX and the spot/cash market data has been taken from the market of Alwar, Sri Ganganagar and Jaipur. The study has revealed a persistent volatility in future as well as spot market prices of mustard seeds. The results of LM test have indicated that for future price and spot price series of Alwar, Sri Ganganagar and Jaipur, the null hypothesis of no-ARCH effect was rejected as the F-statistic was not found significant at 1 per cent level. Therefore, the alternative hypothesis of ARCH effect in price series was true, indicating time-varying volatility in the data series.
