蔬菜价格波动特征研究——基于ARCH类模型分析

The Study of Vegetable Price Fluctuation Problems——Based on ARCH model analysis

利用ARCH类模型研究蔬菜价格波动特征问题。结果表明:18种蔬菜具有价格波动集簇性和异方差性,其中冬瓜等6种蔬菜的价格具有显著的异方差效应和波动集簇性。GARCH模型表明6种蔬菜的价格波动都具有显著地集簇性,按价格波动持续性强弱比较,冬瓜、大白菜、土豆、洋葱的价格波动持续性强于青椒和生姜;GARCH-M模型表明只有土豆和生姜具有高风险高回报的特征;TARCH和EARCH模型表明6中蔬菜都具有显著的非对称效应,其中除洋葱和青椒以外,其他4种蔬菜两个模型的非对称效应都使得价格波动减小。

In this paper, we use ARCH model to study vegetable price fluctuation. The results show that：eighteen kinds of vegetables have price volatility clustering and heteroscedasticity, six kinds of vegetable prices, such as the wax gourd, have significant variance effect and volatility clus tering. GARCH model indicates that the six kinds of vegetable prices fluctuate obviously set of clusters of, according to the price volatility persist ence strength comparison of wax gourd, cabbage, potatoes, onion price volatility persistence in green pepper and ginger; GARCHM model shows that only potato and ginger have a high risk and high return characteristics; TARCH and EARCH model show that six vegetables are significant a symmetrical effect, but except the onions and green peppers, asymmetric effect in two models of other four kinds of vegetables both can make price reduce.