我国玉米价格波动的条件异方差模型实证分析

Empirical Analysis of China's Corn Price Volatility Based on Auto-Regressive Conditional Heteroskedasticity Model

为了研究我国2005年1月到2014年12月玉米价格序列条件方差的变化规律及残差的统计分布特征,引入自回归条件异方差模型,建立基于正态分布假设的模型进行实证分析,得出该模型对我国玉米价格的估计与预测具有良好的效果。

The regularity of conditional variance variation and the statistical distribution characteristic of residual error of the price of corn in China are researched. On this basis, by means of leading in the generalized auto- regressive conditional heteroskedasticity （GARCH） model, a GARCH model based on the Normal distri- bution is proposed to research the variation regularity of corn price. Taking the actual data from corn price in China as samples, both GARCH model and the proposed GARCH model are tested, the testing results show that the GARCH model can offer good estimation and forecasting results of corn price.