摘要
对葡萄酒投资市场的波动性进行研究,选取伦敦葡萄酒交易所(LIV-EX)发布的样本区间为1988年1月至2013年11月的LIV-EX Fine Wine Investables Index月度数据,对FWI月收益率序列的平稳性、异方差性进行分析和检验。基于GARCH(广义自回归条件异方差,Generalized Auto-Regressive Conditional Heteroskedasticity)族模型来描述FWI的波动集聚性、敏感性及其杠杆效应。结果表明,FWI月收益率序列是平稳的,其指数波动具有高阶ARCH效应,并且具有正向非对称的反杠杆效应,但不存在ARCH in Mean效应。
The monthly data of LIV-EX fine wine investable index （FWI） from Jan. 1988 to Nov. 2013 published by LIV-EX are selected in order to study the volatility of fine wine investment market and the stability as well as heteroskedasticity of its return series are analyzed and inspected. Then the volatility clustering, sensitivity and asymmetry of FWI are studied based on GARCH family models. Results show the return series of FWI is proved to be stable and there are high-level ARCH and anti-leverage effect on the fluctuation of fine wine, hut there is no ARCH in mean effect.
出处
《青岛科技大学学报（社会科学版）》
2015年第3期50-56,共7页
Journal of Qingdao University of Science and Technology(Social Sciences)
基金
上海海事大学博士创新能力培养专项资金资助项目(2014ycx043)
