| 基于GARCH族模型的国内外煤炭价格波动特征实证研究 |
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| 引用本文： | 雷强,郭白滢.基于GARCH族模型的国内外煤炭价格波动特征实证研究[J].中国矿业,2014,23(5):48-52,60. |
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| 作者姓名： | 雷强 郭白滢 |
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| 作者单位： | 神华科学技术研究院,华东师范大学商学院经济系 |
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| 基金项目： | 世界煤炭协会(WCA)和神华集团国际合作研究项目——2013年科技创新项目之重大宏观战略研究课题“未来世界煤炭工业发展趋势研究”资助(编号:YJY-1) |
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| 摘 要： | 本文利用GARCH族模型对秦皇岛港大同优混(Q5800K)和澳大利亚BJ动力煤现货价收益率波动特征进行实证研究。研究结果表明:上述两种国内外煤炭价格都存在集聚效应、杠杆效应和溢出效应。同时表明,国内外煤炭价格收益率均具有长期记忆性并且国内煤炭价格衰减趋势比国外煤炭价格快,国外煤炭价格对市场信息冲击的效果明显小于国内煤炭市场以及国内外两种煤炭市场具有相互影响的双向传导功能。
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| 关 键 词： | GARCH族模型 长期记忆性 集聚效应 杠杆效应 溢出效应 |
| 收稿时间： | 2013/7/17 0:00:00 |
| 修稿时间： | 2013/10/30 0:00:00 |
The Empirical Research on the Fluctuation Features of the Chinese and International Coal Prices based on the GARCH Models |
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| LEI Qiang and GUO,Baiying.The Empirical Research on the Fluctuation Features of the Chinese and International Coal Prices based on the GARCH Models[J].China Mining Magazine,2014,23(5):48-52,60. |
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| Authors: | LEI Qiang and GUO Baiying |
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| Affiliation: | Shenhua Development Strategy Institute,Shenhua Science and Technology Research Institute Co Ltd,Beijing,the Department of Economics,Business School,East China normal university,Shanghai |
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| Abstract: | This paper empirically tests the data of the Qinhuangdao Port Datong HUNYOU (Q5800K) and the Australia BJ thermal coal spot price by using GARCH Models. The results show that above prices face obvious agglomeration effect, leverage effect and spillover effect. At the same time, this paper finds that there is strong evidence of long memory of the domestic and international coal markets and the domestic coal price decays faster than the international coal price. The impact effect of the international coal market on the market information is significantly less than that of the domestic coal market and there is the dual conduction of the mutual influence of both domestic and international coal markets. |
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| Keywords: | GARCH Models Long memory Agglomeration effect Leverage effect Spillover effect |
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