中国矿业
中國礦業
중국광업
CHINA MINING MAGAZINE
2014年
5期
48-52,60
,共6页
GARCH族模型%长期记忆性%集聚效应%杠杆效应%溢出效应
GARCH族模型%長期記憶性%集聚效應%槓桿效應%溢齣效應
GARCH족모형%장기기억성%집취효응%강간효응%일출효응
GARCH models%long memory%agglomeration effect%leverage effect%spillover effect
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。
本文利用GARCH族模型對秦皇島港大同優混（Q5800K）和澳大利亞BJ動力煤現貨價收益率波動特徵進行實證研究。研究結果錶明：上述兩種國內外煤炭價格都存在集聚效應、槓桿效應和溢齣效應。同時錶明，國內外煤炭價格收益率均具有長期記憶性併且國內煤炭價格衰減趨勢比國外煤炭價格快，國外煤炭價格對市場信息遲擊的效果明顯小于國內煤炭市場以及國內外兩種煤炭市場具有相互影響的雙嚮傳導功能。
본문이용GARCH족모형대진황도항대동우혼（Q5800K）화오대리아BJ동력매현화개수익솔파동특정진행실증연구。연구결과표명：상술량충국내외매탄개격도존재집취효응、강간효응화일출효응。동시표명，국내외매탄개격수익솔균구유장기기억성병차국내매탄개격쇠감추세비국외매탄개격쾌，국외매탄개격대시장신식충격적효과명현소우국내매탄시장이급국내외량충매탄시장구유상호영향적쌍향전도공능。
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 .
