基于ARCH类模型的中国苹果价格波动分析  

Analysis on Price Fluctuation of Apples in China Based on ARCH Model

作　　者：王俊芹[1] 李宪松[1] 王余丁[2] 

机构地区：[1]河北农业大学,河北保定071001 [2]河北大学,河北保定071001

出　　处：《贵州农业科学》2013年第12期209-212,共4页Guizhou Agricultural Sciences

基　　金：河北省林业厅项目"河北省苹果产业生产效率与竞争力关键要素的优化配置"(0906367);河北省社会科学联合会项目"河北省三农软科学研究基地";河北省科学技术厅项目"河北省哲学社会科学研究基地--农业经济发展战略研究基地"

摘　　要：为了掌握苹果价格波动的规律与特征,稳定果品市场和提高果农收入,运用自回归条件异方差类模型(ARCH)验证苹果价格的波动规律,通过ARCH模型检验苹果价格波动是否有集聚性,ARCH-M模型验证苹果果品市场是否具有高风险、高回报的特征,TARCH模型和EGARCH模型验证苹果价格波动的非对称性。结果表明:苹果价格有显著的异方差效应,价格波动有显著的集聚性;苹果市场没有高风险高回报的特征,价格波动存在对称性,不具有"杠杆效应"。In order to understand the regularity and characteristics ot price tluctuatlon tor apples, tc stabilize the market of fruit, and to increase the income of fruit growers, autoregressive conditional heteroscedasticity （ARCH） models were applied to verify the regularity of price fluctuation. ARCH model was used to test if there was clustering, ARCH-H model was used to test if there was character of high- risk and high-return for market of apples, TARCH model and EGARCH were used to test the asymmetry of price fluctuation. The results showed that there was heteroscedasticity effect on price of apples, the price fluctuation was clustering, and there was no character of high-risk and high-return for market ot apples, and there was symmetry instead of leverage effect for price fluctuation for apples.

关 键 词：苹果 价格波动 ARCH效应检验 

分 类 号：S-9[农业科学]