中国粮食价格长期波动特征研究:基于成分GARCH模型

通过应用非对称成分GARCH模型研究中国粮食价格长期波动率的集群性与非对称性特征,结果表明:籼稻、大豆、小麦和玉米价格变化率具有显著的异方差效应,长期波动率随时间变化而变化,但总体呈现逐步下降趋势,除籼稻外的其他三种粮食价格短暂波动具有非对称性,即价格上涨信息引发的波动比价格下跌信息引发的波动大。

Study on China's Grain Price Long-term Volatility: Based on Components GARCH Model

This paper uses asymmetric component GARCH model to study the clustering and asymmetry features of China’s grain price long-term volatility.The results show that japonica rice,soybean,wheat and corn price volatility has significant heteroscedasticity effects and Long-term volatility changes over time but generally declines.Moreover except japonica rice,the other three grains’ short-term price fluctuations have asymmetric effect which means information of rise in price causes high volatility while information of price decline causes low volatility.