中国农产品价格波动特征的实证研究——基于广义误差分布的ARCH类模型

Empirical Analysis on the Price Volatility Characteristics of Agricultural Products in China:Based on GED of ARCH Type Models

近年来农产品价格波动频繁,结构特征明显,主要是因为受到生猪、棉花、大豆、胶脂果实类林产品和稻谷等农作物价格波动的影响。利用广义误差分布的ARCH类模型对主要农产品价格波动特征进行分析,结果表明:棉花价格没有显著的异方差效应;生猪、大豆和稻谷的价格波动具有显著的集聚性,但其市场并没有表现出高风险高回报的特征;稻谷价格波动具有显著的非对称性,但大豆和生猪的价格波动没有显著的非对称性。基于GED的ARCH类模型提高了模型的拟合效果,可以更好地分析中国主要农产品价格波动特征。

In recent years, price of agricultural products has been frequently fluctuated. Meanwhile, the structural feature of price fluctuation is increasingly significant, mainly affected by the price volatility of pigs, cotton, soybeans, fruits crops and rice. The empirical analysis results based on GED of ARCH- type models show as follows： there is no significant conditional heteroskedasticity in cotton price fluctuation. The price fluctuation of pigs, soybeans and rice takes on the significant volatility clustering, but their markets don＇t show the characteristics of high--risk and high--return. Moreover, the rice price has a significant asymmetric volatility, but the price of pigs and soybeans don＇t show significant asymmetry. ARCH type models based on GED can improve the model fitting result so as to better analyze the characteristics of China＇s agricultural price fluctuations.