基于GARCH族模型的中药材市场连翘价格波动分析  

Analysis of Forsythia suspensa Price Fluctuation in Traditional Chinese Medicine Market Based on GARCH Family Models

作　　者：崔旭盛[1,2] 李鑫[2] 宗建新 刘灵娣[3] 靳鹏博 董学会[1] CUI Xusheng;LI Xin;ZONG Jianxin;LIU Lingdi;JIN Pengbo;DONG Xuehui(College of Agronomy and Biotechnology,China Agricultural University,Beijing 100193;Shijiazhuang Yiling Pharmaceutical Co.Ltd.,Shijiazhuang,Hebei 050035;Economic Crop Research Institute,Hebei Academy of Agriculture and Forestry,Shijiazhuang,Hebei 050051)

机构地区：[1]中国农业大学农学院,北京100193 [2]石家庄以岭药业股份有限公司,河北石家庄050035 [3]河北省农林科学院经济作物研究所,河北石家庄050051

出　　处：《北方园艺》2021年第4期144-150,共7页Northern Horticulture

基　　金：国家重点研发计划资助项目(2017YFC1701700);国家中药标准化资助项目(ZYBZH-C-HEB-12);河北省重点研发计划资助项目(19226433D)。

摘　　要：为明确中药材市场价格波动特点,该研究以GARCH族模型为基础,以连翘为代表,重点研究了连翘市场价格波动情况、风险特性和杠杆特征。结果表明:GARCH族模型可以较好的模拟连翘价格的波动情况,拟合偏差为1.37%,通过GARCH族模型研究表明连翘价格具有显著的波动集簇性,但是没有高风险高收益特征,连翘市场价格具有冲击非对称性和杠杆效应,"利好消息"对价格的冲击大于"利空消息"。该模型可以广泛应用于中药材市场价格波动的研究。In order to clarify the characteristics of market price fluctuations in Chinese herbal medicines,this study focused on the price fluctuation,risk and leverage characteristics of Forsythia suspensa based on GARCH family model.The results showed that GARCH family model could better simulate the fluctuation of Forsythia suspensa price,and the fitting error rate was only 1.37%.The GARCH family model showed that Forsythia suspensa price had significant fluctuation clustering,but there was no characteristic of high risks and high returns.The market price of Forsythia suspensa had impact asymmetry and leverage effect,and the impact of‘good news’ on the price was greater than that of‘bad news’.The model can be widely applied to the study of price fluctuation in Chinese herbal medicines.

关 键 词：中药材 连翘 GARCH族模型 波动分析 

分 类 号：F326.12[经济管理—产业经济]