基于GARCH模型的煤炭价格波动规律研究

发布时间：2018-03-09 06:27

本文选题：煤炭价格　切入点：GARCH模型　出处：《价格月刊》2017年09期 　论文类型：期刊论文

【摘要】：为了研究煤炭价格波动规律,以秦皇岛大同优混煤2003年3月~2017年5月现货价格为实证研究对象,分别采用普通最小二乘法和GARCH模型对煤炭价格时间序列进行拟合。实证结果表明:煤炭价格时间序列表现出随机波动趋势,GARCH(1,1)模型拟合效果优于最小二乘法;外部冲击会加剧煤炭价格波动,煤炭价格时间序列具备长期记忆性;波动率序列具备ARCH效应,ARCH项系数和GARCH项系数之和略大于1,说明煤炭价格波动的持续性较强。
[Abstract]:In order to study the fluctuation law of coal price, the spot price of Datong you mixed coal in Qinhuangdao from March 2003 to May 2017 is taken as the empirical research object. The general least square method and GARCH model are used to fit the time series of coal price respectively. The empirical results show that the coal price time series shows a random fluctuation trend and the fitting effect of the model is better than that of the least square method. The external shock will aggravate the coal price fluctuation, the coal price time series has the long-term memory, the volatility series has the ARCH effect and the sum of the arch coefficient and the GARCH term coefficient is slightly more than 1, which indicates that the coal price fluctuation has strong persistence.
【作者单位】：西安科技大学管理学院;西安科技大学能源经济与管理研究中心;
【基金】：国家自然科学基金“煤炭资源采矿权估价理论与方法”(编号:71273207) 陕西省科学技术研究发展计划项目“基于案例推理的煤炭资源采矿权估价方法”(编号:2011kjxx54) 陕西省留学人员科技活动择优资助项目
【分类号】：F426.21;F764.1

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