GARCH模型在农产品价格研究中的应用

Application of GARCH Model in Research on Price of Agricultural Products

以贵州省的粮食价格为例,通过构建GARCH模型,测算粮食价格指数对数收益率的VAR,以对农产品的价格变动规律进行研究。结果表明,贵州省粮食的VAR具有波动性,进入2010年之后VAR正在逐步增大,粮食市场的价格波动风险呈递增趋势。针对粮食价格变动特征,提出了稳定粮食价格的建议:加大农业基础设施建设力度,提高农业综合生产能力;强化对农产品流通领域的市场监督,维持市场秩序;健全农产品调控体系,平抑农产品价格;加强流动性调控,防范热钱炒作。

Taking the price of grain in Guizhou Province as an example,by establishing GARCH model,I calculate VAR of logarithm return of grain price index,in order to conduct research on the variation law of price of the agricultural products.The results show that VAR of grain in Guizhou has variation.After the year 2010,VAR value is gradually increasing,and the price variation risk of grain market tends to increase progressively.Based on the characteristics of grain price variation,a series of corresponding proposals are put forward to stabilize the grain price as follows： strengthen the agricultural infrastructure construction,and promote the agricultural overall production capacity;reinforce the market supervision on the circulation field of agricultural products,and maintain market order;improve regulation system of agricultural products,and stabilize the price of agricultural products;strengthen mobility regulation,and prevent a flood of speculative cash.