Price Patterns in Agricultural Futures Markets: A GARCH Model Approach

Abstract

The outbreak of corona virus has affected the financial market internationally in an unprecedented way. Due to the devastations that emerged in the international market, the Indian financial market proportionally reacted to the pandemic and further witnessed violent volatility. Considering the COVID-19 situation, this paper is an empirical investigation on the impact of COVID-19 on agricultural commodities, specifically on NCDEX platform. Using daily closing future prices of guar seed, jeera, turmeric, and Coriander on NCDEX, this study examines the impact of COVID-19 on the selected commodities over the period from 24th December 2019 to 24th June 2020, representing three months before and during the covid – 19 spread. This study has tried to compare the future prices in the pre-COVID-19 period and during the COVID-19 situation, by using GARCH Model. Findings reveal that the price of jeera, turmeric and coriander has encountered instability during the Corona pandemic period.