CAJ | 학술논문

运用X12-ARIMA模型、HP滤波法和基于GED分布下的EGARCH-M 模型对中国农资价格波动的一些主要统计特征进行了拟合分析，结果表明：农资价格波动存在显著的季节效应；考察期间农资价格呈现出5个波动性周期，平均周期长度在48个月左右；农资价格波动还存在显著聚集性和非对称性，但其市场并没有表现出高风险高回报的特征；相较于正态分布，G ED分布能更好地对模型进行估计和描述中国农资价格的波动特征。
운용X12-ARIMA모형、HP려파법화기우GED분포하적EGARCH-M 모형대중국농자개격파동적일사주요통계특정진행료의합분석，결과표명：농자개격파동존재현저적계절효응；고찰기간농자개격정현출5개파동성주기，평균주기장도재48개월좌우；농자개격파동환존재현저취집성화비대칭성，단기시장병몰유표현출고풍험고회보적특정；상교우정태분포，G ED분포능경호지대모형진행고계화묘술중국농자개격적파동특정。
Using the X12-ARIMA model , HP filtering method and the EGARCH-M model , the characteristics of the fluctuation of agricultural means price in China were analyzed .The result shows that the seasonality of agricultural means price is significant .The fluctuation of agricultural means price during 1994-2014 can be divided into five periods ,and the average cycle time of is 48 months .The price of agricultural means takes on the significant clustered volatility and asymmetry ,but the agricultural means market doesn't show the characteristic of high-risk and high-reward .Compared with Normal distribution , GED distribution can give a better model estimation and better describe the fluctuation of agricultural means price in China .