|Table of Contents|

Analysis of Forsythia suspensa Price Fluctuation in Traditional Chinese Medicine Market Based on GARCH Family Models

《北方园艺》[ISSN:1001-0009/CN:23-1247/S]

Issue:
2021年04
Page:
144-150
Research Field:
Publishing date:

Info

Title:
Analysis of Forsythia suspensa Price Fluctuation in Traditional Chinese Medicine Market Based on GARCH Family Models
Author(s):
CUI Xusheng1; 2; LI Xin2; ZONG Jianxin2; LIU Lingdi3; JIN Pengbo2; DONG Xuehui1
(1.College of Agronomy and Biotechnology,China Agricultural University,Beijing 100193;2.Shijiazhuang Yiling Pharmaceutical Co.Ltd.,Shijiazhuang,Hebei 050035;3.Economic Crop Research Institute,Hebei Academy of Agriculture and Forestry,Shijiazhuang,Hebei 050051)
Keywords:
Chinese herbal medicines; Forsythia suspensa; GARCH family model; fluctuation analysis
PACS:
-
DOI:
10.11937/bfyy.20193990
Abstract:
In order to clarify the characteristics of market price fluctuations in Chinese herbal medicines,this study focused on the price fluctuation,risk and leverage characteristics of Forsythia suspensa based on GARCH family model.The results showed that GARCH family model could better simulate the fluctuation of Forsythia suspensa price,and the fitting error rate was only 1.37%.The GARCH family model showed that Forsythia suspensa price had significant fluctuation clustering,but there was no characteristic of high risks and high returns.The market price of Forsythia suspensa had impact asymmetry and leverage effect,and the impact of ‘good news’ on the price was greater than that of ‘bad news’.The model can be widely applied to the study of price fluctuation in Chinese herbal medicines.

References:

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Last Update: 2021-06-07