ESTIMATING VOLATILITY SPREADS BETWEEN MELON, WATERMELON, AND GRAPE MARKETS WITH THE DIAGONAL BEKK-GARCH (1.1) EQUATION MODEL

This investigation has been conducted to determine the fluctuations in the real prices of melon, watermelon, and grapes cause volatility in their own and other markets in Turkey. Diagonal-Bekk Garch (1,1) model was used under the Full-rank constraint with 101 monthly data for the period 2010M01-2022M08. The results of the research have put out that the shock or uncertainty experienced in the melon and watermelon market has increased the uncertainty both in its own market and in the watermelon and grape markets. Shocks in the grape market have only increased the uncertainties in its own market. In addition, it has been determined that the shocks in the melon and watermelon markets are permanent in these markets in the short and long term, but the shocks in the grape market do not have a permanent effect in the short and long term. As a result, it may be necessary to reduce the negative effects of this situation on consumers and to regulate and renew policies that will minimize the risk for producers and consumers in the face of high price volatility.