CUI Xusheng,LI Xin,ZONG Jianxin,et al.Analysis of Forsythia suspensa Price Fluctuation in Traditional Chinese Medicine Market Based on GARCH Family Models[J].Northern Horticulture,2021,(04):144-150.[doi:10.11937/bfyy.20193990]
基于GARCH族模型的中药材市场连翘价格波动分析
- Title:
- Analysis of Forsythia suspensa Price Fluctuation in Traditional Chinese Medicine Market Based on GARCH Family Models
- 文献标志码:
- A
- 摘要:
- 为明确中药材市场价格波动特点，该研究以GARCH族模型为基础，以连翘为代表，重点研究了连翘市场价格波动情况、风险特性和杠杆特征。结果表明：GARCH族模型可以较好的模拟连翘价格的波动情况，拟合偏差为1.37%，通过GARCH族模型研究表明连翘价格具有显著的波动集簇性，但是没有高风险高收益特征，连翘市场价格具有冲击非对称性和杠杆效应，“利好消息”对价格的冲击大于“利空消息”。该模型可以广泛应用于中药材市场价格波动的研究。
- 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.
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备注/Memo
第一作者简介：崔旭盛（1986-），男，博士，高级农艺师，现主要从事中药资源与信息等研究工作。E-mail:cuixushengangel@163.com.责任作者：董学会（1965-），男，博士，教授，博士生导师，现主要从事中药材栽培与生理等研究工作。E-mail:xuehuidong@cau.edu.cn.基金项目：国家重点研发计划资助项目（2017YFC1701700）；国家中药标准化资助项目（ZYBZH-C-HEB-12）；河北省重点研发计划资助项目（19226433D）。收稿日期：2019-10-23