Modeling Price Volatility in Greek Consumer Meat Prices

This paper examines consumer price volatility relationships between the four major meat markets in Greece: beef, pork, lamb and broiler. The presence of high price volatility in a specific market implies high uncertainty, while the presence of spillover effects means that price volatility in one market can affect price volatility in the other markets. A Multivariate Generalized Autoregressive Conditional heteroskedasticity process is used to measure price volatility. In particular, a four dimension diagonal VEC model is used and the empirical findings show significant levels of price volatility in all meat markets. Furthermore, the empirical findings show the presence of significant spillover effects across the four meat markets, indicating that an increase in price volatility in one market causes an increase in price volatility in the other markets.