The broiler industry is one of the most important livestock industries in Taiwan. Analyzing broiler farm price information could help Taiwan government to make broiler price stabilization programs. The objective of this paper is to investigate threshold and asymmetric volatility characteristics in the broiler farm price changes. It is found that the ESTAR model is more suitable for analyzing broiler farm price changes. The threshold estimate obtained for the ESTAR-GJR (1,1) model was 22.48, but asymmetric volatility in broiler farm price changes was not significant.
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