| 基于EGARCH模型的分类商品零售价格波动的信息效应研究 |
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| 引用本文： | 田成诗.基于EGARCH模型的分类商品零售价格波动的信息效应研究[J].数学的实践与认识,2012,42(9):12-18. |
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| 作者姓名： | 田成诗 |
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| 作者单位： | 东北财经大学统计学院,辽宁大连,116025 |
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| 基金项目： | 国家社会科学基金，辽宁省教育厅科学研究一般项目 |
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| 摘 要： | 利用EGARCH模型对我国部分具有代表性的分类商品零售价格波动的信息效应进行了实证分析.分析结果显示,我国分类商品零售价格波动特征是不同的.在六个具有代表性的分类商品零售价格指数中,有四个指数的方差具有时变性特征.在四个当中,有三个指数有非对称信息效应,即非期望的价格上涨或下降信息对价格波动的影响是非对称的.另外的两个价格指数的方差为常数,价格波动稳定.
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| 关 键 词： | 价格指数 非对称性 EGARCH模型 |
Empirical analysis on the News Effect of the Categories Commodity Retail Price Index in China Based on the EGARCH Model |
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| TIAN Cheng-shi.Empirical analysis on the News Effect of the Categories Commodity Retail Price Index in China Based on the EGARCH Model[J].Mathematics in Practice and Theory,2012,42(9):12-18. |
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| Authors: | TIAN Cheng-shi |
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| Institution: | TIAN Cheng-shi (College of Statistics,Dongbei University of Finance and Economics,DaLian 116025,China) |
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| Abstract: | The paper empirical analyzes the asymmetric news effect for some categories commodity retail price index in China with EGARCH model.The empirical results show that the volatility character of commodity retail price is different.Four indexes are time varying variance and three retail indexes exhibit an asymmetric news effect with unexpected low prices generating more price volatility than news of high prices,two price indexes have constant variance in six representative categories commodity retail price index in China. |
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| Keywords: | price index asymmetry EGARCH model |
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