This study examines the price volatility transmission of fresh anchovies (Engraulis encrasicolus) among different markets along the value chain in Spain. For this purpose, the prices in the first-hand sale, wholesale, and retail markets are considered. A vector autoregressive (VAR) model and an asymmetric multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model are used to analyse the relationship of price volatility among the markets in the value chain. The results indicate that the retail market has the lowest volatility. Therefore, volatility in the first-hand sale and wholesale markets is only minimally transmitted to consumers. Finally, asymmetric effects are observed in the price volatility transmission along the fresh anchovy value chain.The authors wish to acknowledge the helpful comments of two anonymous referees, the Associate Editor Cameron Speir, and Tom Doan. This paper is part of R&D+I project RTI2018–099225-B-100, funded by MCIN/ AEI/10.13039/501100011033/ and the European Regional Development Fund (ERDF) ‘A way to make Europe’, and R&D+I project UHU-202046 (‘An´alisis Econ´omico de los Mercados del Boquer´on y la Sardina en Espa˜na. Impacto Sobre los Productores Andaluces’), funded by Andalucía ERDF 2014–20 OP. Funding for open access charge: Universidad de Huelva / CBUA
