基于GARCH-M模型的湖南省CPI波动的实证研究

An Empirical Analysis on the CPI of Hunan Province Based on a GARCH Model

居民消费物价指数的波动聚集性问题是物价研究中的一个重要课题.文章根据湖南省1994年1月到2012年5月的居民消费物价指数月度数据,运用时间序列的GARCH模型对其建立模型,较好的拟合了湖南省居民消费物价指数,并得出湖南省居民消费物价指数存在波动聚集性,它对外部冲击反应比较慢,具有时滞性.

The volatility clustering problem of CPI is an important subject. This paper builds a GARCH model on CPI of Hunan Province using the data from January, 1994 to May, 2012. It is found that the CPI of Hunan Province has autoregressive conditional heteroskedasticity, the volatility clustering. It reacts slowly against the external im pacts, which means a timelag.