Position: Home > Articles > Analysis of clustering of volatility about related indexes in fresh agricultural products auction
Guangdong Agricultural Sciences
2012,39
(19)
206-210+214
鲜活农产品拍卖相关指标的波动聚集性分析
作 者：
秦开大;曾能民
单 位：
昆明理工大学管理与经济学院
关键词：
波动聚集性;指标;鲜活农产品拍卖
摘 要：
成交价格、供货量、交易量和流拍率是我国鲜活农产品拍卖的4个重要指标并呈现波动聚集性。运用条件异方差模型分析了相应的收益率、供货量变动率、交易量变动率与流拍变动率的波动特征。实证结果表明,这4个序列均存在很强的波动聚集性:分别用t-ARCH(1)模型、正态-EGARCH(1,1)模型、GED-EGARCH(1,1)模型、t-EGARCH(1,1)模型拟合收益率序列、供货量变动率序列、交易量变动率序列、流拍变动率序列,具有较好的效果。此外,还进一步分析了相应的预测性能和杠杆效应。
译 名：
Analysis of clustering of volatility about related indexes in fresh agricultural products auction
作 者：
QIN Kai-da,ZENG Neng-min(School of Management Economic,Kunming University of Science and Technology,Kunming 650093,China)
关键词：
clustering of volatility;indexes;agricultural products auction
摘 要：
Supply quantity,deal quantity,abortion rate and the prices are four important indicators of fresh agricultural products auction market in China.Based on conditional heteroscedasticity model,the paper studied the fluctuation characteristics of supply quantity,deal quantity,abortion rate and prices in this paper.Empirical results showed that there was obvious clustering of volatility in the four sequences.It was suitable for t-ARCH(1),normal-EGARCH(1,1),GDE-EGARCH(1,1) and t-EGARCH(1,1) model to fit prices,supply quantity,deal quantity and abortion rate respectively.In addition,further we analyzed the prediction performance and leverage effect.
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