基于MS-GARCH类模型的中国生鲜乳价格波动双重非对称效应研究

Price Fluctuation of Fresh Milk in China Based on MS-GARCH Model Double Asymmetric Effect Study

本文基于2008年1月第1周-2019年3月第1周中国生鲜乳价格周度数据,借助MS-GARCH类模型对中国生鲜乳价格波动的双重非对称效应进行考察。结果表明:①中国生鲜乳价格在平缓波动状态和剧烈波动状态下频繁运行并转换;剧烈波动状态下价格波动的持续性更强,而平缓波动状态下的运行概率更高;平缓波动状态下的平均持续时间分布的跳跃性较高,剧烈波动状态下则相对稳定。②中国生鲜乳价格波动存在明显双重非对称效应;“利空消息”在平缓波动状态和剧烈波动状态下对生鲜乳价格波动带来的冲击均大于“利好消息”,且平缓波动状态下“利空消息”带来的冲击性更强。可见,中国生鲜乳价格存在明显杠杆效应,平缓波动状态下的杠杆效应更为明显。

Based on weekly data of fresh milk prices in China from the first week of January 2008 to the first week of March 2019,this study investigated the double asymmetric effect of fresh milk price fluctuations in China with the help of MSGARCH model.The results show that the price of fresh milk in China moves and changes frequently in the state of gentle fluctuation and the state of violent fluctuation;The persistence of price fluctuation is stronger in the state of violent fluctuation,and its running probability is higher in the state of gentle fluctuation.The average duration of gentle fluctuation is about 1 month at the shortest and 152 months at the longest.The time distribution has a high jump,while it is relatively stable under severe fluctuation.The price fluctuation of fresh milk in China has obvious double asymmetric effect;In the state of violent fluctuation,the impact of"bad news"on price fluctuation is greater than that of"good news",while in the state of gentle fluctuation,it is the opposite.It can be seen that the price of fresh milk in China has obvious leverage effect under the state of violent fluctuation.