农产品价格波动分析——基于ARCH类模型  

Agricultural Price Volatility Analysis——Based on ARCH Class Models

作　　者：王富豪 刘燕妮[1] Wang Fuhao;Yanni Liu(School of Economics and Management,Northwestern University,Xi'an,Shaanxi Province,710017)

机构地区：[1]西北大学经济管理学院,陕西西安710017

出　　处：《西部金融》2021年第5期55-63,共9页West China Finance

摘　　要：本文利用ARCH、GARCH、ARCH-M、GARCH-M、TARCH、EGARCH和APARCH等ARCH类模型对农产品价格的波动特征进行分析。研究发现:猪肉、牛肉和带鱼这三种农产品价格具有显著ARCH效应;猪肉、牛肉和带鱼价格存在波动性集聚的特征;猪肉市场没有高风险高收益的特征,牛肉和带鱼市场具有高风险高报酬的特征;猪肉价格波动具有非对称性,即正面消息影响力大于负面消息,带鱼价格波动具有非对称性,即负面消息比正面消息产生的影响大,而牛肉价格波动具有对称性。In this paper,the volatility characteristics of agricultural prices are analysed using ARCH,GARCH,ARCH-M,GARCH-M,TARCH,EGARCH and APARCH models.The study found that:.Pork,beef and ribbonfish are three agricultural commodities with high-order ARCH effects;the prices of pork,beef and ribbonfish are characterised by volatility clustering;the pork market is not characterised by high risk and high reward,while the beef and ribbonfish markets are characterised by high risk and high reward;pork price volatility is asymmetric,i.e.positive news is more influential than negative news,and price volatility of ribbonfish is asymmetric,i.e.negative news is more influential than negative news.Positive news generates a large impact while beef price fluctuations are symmetric.

关 键 词：农产品价格 波动特征 ARCH类模型 

分 类 号：F832.5[经济管理—金融学]