摘要
文章应用ARCH类模型对秦皇岛煤炭市场和澳大利亚市场煤炭价格的波动性特征进行了分析。研究发现秦皇岛市场和澳大利亚市场煤炭价格,均受到外部冲击和自身过去的波动的持续影响,该影响在秦皇岛市场的消失速度比澳大利亚市场的更慢,且两个市场均不存在"高风险、高回报"的特征。秦皇岛市场的煤炭价格波动存在非对称效应,"好消息"对煤炭价格的影响要大于"坏消息"的影响,而在澳大利亚市场这种"非对称效应"不显著。研究表明对于秦皇岛和澳大利亚煤炭市场,ARCH类模型均适用于研究煤炭价格的波动特征。
ARCH model was applied to study the volatility characteristics of coal prices at Qinhuangdao and Australian coal markets. The research found the coal prices at Qinhuangdao and Australian coal markets subject to the continuing impact of external shocks and their past fluctuations. This effect disappeared at a slower rate in Qinhuangdao market than in Australian market, while the both two markets did not show the feature of ＂high - risk, high - return＂. Coal price volatility at Qinhuangdao market showed an ＂asymmetric effect＂ with the impact of ＂good news＂ for coal price was greater than that of ＂bad news＂, while in the Australian market the ＂asymmetric effect＂ was non - significant. The results show that, the ARCH model was applicable to volatility characteristics research of coal price, for both Qinhuangdao and the Australian coal markets.
出处
《煤炭工程》
北大核心
2014年第8期123-126,共4页
Coal Engineering
基金
世界煤炭协会重大专项课题"煤炭可持续开采的最佳实践方法研究"(SHGF-13-97)
