摘要
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1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。
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.
出处
《昆明理工大学学报（社会科学版）》
2012年第5期66-72,共7页
Journal of Kunming University of Science and Technology(Social Sciences)
基金
国家自然科学基金资助项目"小参与者对鲜活农产品拍卖价格影响机制"(71062006
71162019)
云南省应用基金项目资助项目(2009ZC019M)
云南省哲学社会科学研究基地重点项目(JD2011ZD07)
