中国大蒜电子交易市场与现货市场波动溢出效应研究——基于二元VAR-GARCH-BEKK模型

Research On the Volatility Spillover Effect between Garlic Electronic Exchange Market and Spot Market in China : Based on the VAR-GARCH-BEKK Model

本文采用二元VAR-GARCH-BEKK模型,对中国大蒜现货市场和电子交易市场间的波动溢出效应进行了分析,研究发现:既存在现货市场向电子交易市场单向的波动溢出效应,也存在电子交易市场向现货市场的单向波动溢出效应,同时两个市场间还存在着双向的波动溢出效应,并且大蒜电子交易市场向现货市场的波动溢出效应要强于现货市场向电子交易市场的波动溢出效应,两个市场间的波动溢出效应主要是由电子交易市场向现货市场的溢出。

Based on the VAR--GARCH--BEKK model, this paper empirically researches the volatility spillover effects between garlic electronic exchange market and spot market in China. The study shows that there exists volatility spillover effect from garlic electronic exchange market to spot market, and vice versa, and there is bidirectional volatility spillover effect both between garlic electronic change market and spot market. Moreover, the volatility spillover effect from electronic exchange market to spot market is stronger than the volatility spiUover effect from spot market to electrogic exchange market.