Commodity price volatility under regulatory changes and disaster

•Transaction volume contains useful information for predicting volatility.•Reaction to shocks is asymmetric, though news impact on volatility level is contrary to that of financial asset prices.•Consistent with other fish commodity prices, market depth is not significant.•Accounting for oil spill closures and the IFQ program in other species as variance shift parameters reduces volatility.•The 2010 oil spill closures in the Gulf of Mexico dampened the conditional mean, while increasing the volatility.

We find that the EGARCH model best describes the dynamics of U.S. Gulf of Mexico red snapper daily dockside prices and find their reaction to shocks to be asymmetric, though news has an impact on volatility level in a direction contrary to that of financial asset prices. We also find that volume contains useful information for predicting volatility. However, unlike financial asset prices, though consistent with fish commodities prices, red snapper price volatility diminishes when the volume is high. Also, the effect of expected changes on transaction volume is more dominant than that of unexpected changes. Explicitly accounting for oil spill closures and the Individual Fishing Quotas (IFQ) program in other species as variance shift parameters significantly reduces volatility and improves the market efficiency response to shocks.