CAJ | 학술논문

论文分析了同一品类产品交易日的价格、供货量、交易量和流拍率的波动特征。研究了拍卖市场各时间序列波动的随机性特征。以昆明国际花卉交易中心为实例研究，选择其2009年2月16日至2010年2月12日的交易数据进行分析，利用GARCH类模型，分别建立收益率、供货量变动率、交易量变动率、流拍变动率的预测模型，拟合最佳分布，并分析杠杆效应。研究表明：四个波动序列预测模型的Theil不等系数值均介于0和l之间，具有较高的预测精度，供货量、交易量负冲击大于正冲击，而流拍率仅存在正冲击。
논문분석료동일품류산품교역일적개격、공화량、교역량화류박솔적파동특정。연구료박매시장각시간서렬파동적수궤성특정。이곤명국제화훼교역중심위실례연구，선택기2009년2월16일지2010년2월12일적교역수거진행분석，이용GARCH류모형，분별건립수익솔、공화량변동솔、교역량변동솔、류박변동솔적예측모형，의합최가분포，병분석강간효응。연구표명：사개파동서렬예측모형적Theil불등계수치균개우0화l지간，구유교고적예측정도，공화량、교역량부충격대우정충격，이류박솔부존재정충격。
The paper analyzes the fluctuation characteristic of price, supply quantity, deal quantity and a- bortion rate, whose random feature are also studied, to enhance the ability of prediction in auction market. By choosing the real data of roses in Kunming international flower auction market from Feb. 16, 2009 to Feb. 12, 2010, this paper employs the time series methods of GARCH to establish forecasting models and uses the differ- ent distributions of residual term. The analysis of leverage effect is also given. The result shows that the accura- cy of those models forecasting is acceptable since the coefficient of Theil is between 0 and 1. In addition, the negative shock to supply quantity and deal quantity is more than its positive shock, while abortion rate exists the positive shock only.