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中国大豆批发价格波动规律研究——基于GARCH模型
引用本文:刘家富,李秉龙,张雯丽.中国大豆批发价格波动规律研究——基于GARCH模型[J].技术经济,2009,28(10):44-46.
作者姓名:刘家富  李秉龙  张雯丽
作者单位:中国农业大学,经济管理学院,北京,100193
摘    要:本文运用GARCH(1,1)模型考察了我国大豆批发价格的波动特征。研究发现,1999—2008年期间我国大豆批发价格呈随机游走趋势,其波动具有右厚尾特征和集群性,价格波动具有ARCH效应,波动冲击影响衰减较慢,近期波动有加剧趋势。

关 键 词:大豆批发价格  价格波动  GARCH(1  1)模型

Analysis on Fluctuation Rule of Soybean Wholesale Price in China:Based on GARCH Model
Liu Jiafu,Li Binglong,Zhang Wenli.Analysis on Fluctuation Rule of Soybean Wholesale Price in China:Based on GARCH Model[J].Technology Economics,2009,28(10):44-46.
Authors:Liu Jiafu  Li Binglong  Zhang Wenli
Institution:(College of Economics and Management,China Agricultural University,Beijing 100193 ,China)
Abstract:This paper studies the characteristic of the short-term fluctuation of soybean wholesale price with GARCH(1,1)model.The results show that the wholesale price of soybean in China has a tendency of stochastically random walks during 1999-2008.The fluctuation of soybean wholesale price is characteristized by the right thick tail and the colony,and it has ARCH effects,and the impulse of fluctuation weakens slowly.Recently,the price fluctuation has a tendency of aggravation.
Keywords:soybean wholesale price  price fluctuation  GARCH(1  1)model
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