摘要
采用GARCH,GARCH-M,TARCH和EGARCH模型分析以牛奶、酸奶、奶粉为代表的乳制品价格波动特征。结果表明:乳制品市场具有显著的波动集簇效应,牛奶价格波动持续时间长,并且会向后期放大,其他乳制品则在短期内减弱并消失;牛奶和酸奶市场具有高风险、高回报的特征,奶粉市场则与此相反;乳制品价格波动信息冲击存在显著的非对称性,利空消息引起波动的程度大于利好消息,就价格下行引起的价格波动幅度而言,牛奶最大,酸奶次之,奶粉则最小。基于上述结论,提出了相应的价格波动应对措施。
GARCH, GARCH-M, TARCH and EGARCH model were used to analyze the price fluctuation characteristics of dairy products represented by milk, yogurt and milk powder. The results show that the dairy market has a significant fluctuation cluster effect, the milk price fluctuation lasts for a long time, and it can be amplified successively, while price fluctuation of other dairy products are weakened and disappeared in the short term; the milk and yogurt market has the characteristics of high risk with high rewards, which is the reverse of the milk powder market; since the fluctuation caused by the bad news is greater than the bull news, there is a significant asymmetry in the information impact of dairy price fluctuations;in terms of the extent of the price fluctuation caused by the falling price, milk is the largest, yogurt is the second, and milk powder is the smallest. Based on the above conclusions, the corresponding price fluctuation countermeasures are put forward.
作者
闫桂权
何玉成
王媛媛
YAN Guiquan;HE Yucheng;WANG Yuanyuan(College of Economics & Management,Huazhong Agricultural University,Wuhan 430070,China)
出处
《中国乳品工业》
CAS
CSCD
北大核心
2018年第12期38-42,共5页
China Dairy Industry
基金
国家自然科学基金项目(71573098)
国家自然科学基金项目(71173085)
农业部
财政部现代农业产业技术体系建设专项(CARS-21)
关键词
乳制品
价格波动特征
ARCH类模型
Dairy Products
Characteristics of Price Fluctuation
ARCH-type Models.
