Analysis of Forsythia suspensa Price Fluctuation in Traditional Chinese Medicine Market Based on GARCH Family Models
-
摘要: 为明确中药材市场价格波动特点,该研究以GARCH族模型为基础,以连翘为代表,重点研究了连翘市场价格波动情况、风险特性和杠杆特征。结果表明:GARCH族模型可以较好的模拟连翘价格的波动情况,拟合偏差为1.37%,通过GARCH族模型研究表明连翘价格具有显著的波动集簇性,但是没有高风险高收益特征,连翘市场价格具有冲击非对称性和杠杆效应,"利好消息"对价格的冲击大于"利空消息"。该模型可以广泛应用于中药材市场价格波动的研究。Abstract: In order to clarify the characteristics of market price fluctuations in Chinese herbal medicines,this study focused on the price fluctuation,risk and leverage characteristics of Forsythia suspensa based on GARCH family model.The results showed that GARCH family model could better simulate the fluctuation of Forsythia suspensa price,and the fitting error rate was only 1.37%.The GARCH family model showed that Forsythia suspensa price had significant fluctuation clustering,but there was no characteristic of high risks and high returns.The market price of Forsythia suspensa had impact asymmetry and leverage effect,and the impact of‘good news’ on the price was greater than that of‘bad news’.The model can be widely applied to the study of price fluctuation in Chinese herbal medicines.
-
-
[1] 国家药典委员会.中华人民共和国药典(2015版一部)[M].北京:中国医药科技出版社,2015. [2] 郭丁丁,张潞,朱秀峰.中药连翘种质资源调查报告[J].时珍国医国药,2012,23(10):2601-2603. [3] 杨洋,卫海燕,王丹,等.连翘潜在地理分布预测模型的比较[J].生态学杂志,2016,35(9):2562-2568. [4] GUO Y P,LIN L G,WANG Y T.Chemistry and pharmacology of the herb pair Flos Lonicerae japonicae-Forsythiae fructus[J].Chinese Medicine,2015,10(1):16.
[5] 王小敏,陈乔,郭丽丽,等.连翘果、连翘叶乙醇提取物的抑菌活性及成分分析[J].食品工业科技,2019,40(6):89-94. [6] 于晓东,王立辛.连翘苷拮抗环磷酰胺所致小鼠免疫抑制的实验研究[J].中国免疫学杂志,2017,33(8):1177-1180. [7] 孙倩倩,姜子涛,李荣.天然防腐剂连翘精油的研究进展[J].中国食品添加剂,2012(1):222-226. [8] 程蒙,杨光,池秀莲,等.基于钻石理论的中药产业国际贸易竞争力研究[J].中国中药杂志,2019,44(1):199-203. [9] 张伯礼,张俊华,陈士林,等.中药大健康产业发展机遇与战略思考[J].中国工程科学,2017,19(2):16-20. [10] 苏健光,赵颖,麦文武,等.中药材行情数据的并行爬取方案[J].信息技术信息化,2018(4):27-30. [11] 汪莹,申俊龙,赵坤元.基于蛛网模型的中药材价格波动原因分析及对策研究[J].现代中药研究与实践,2014,28(2):79-82. [12] 杨勇,陶群山.基于向量自回归模型的中药材价格影响因素分析及预测[J].中国现代中药,2019,21(1):111-115. [13] 朱昶胜,王莎莎,王永贤.基于R+Hadoop的中药材大数据的分析及预测[J].兰州理工大学学报,2017,43(1):98-103. [14] PAN Z Y,WANG Y D,LIU L,et al.Improving volatility prediction and option valuation using VIX information:A volatility spillover GARCH model[J].Journal of Futures Markets,2019,39(6):744-776.
[15] AGYA A A.Modeling exchange rate return volatility of RMB/USD using GARCH family models[J].Journal of Chinese Economic and Business Studies,2019,17(2):169-187.
[16] BOLLERSLEV T.Generalized autoregressive conditional heteroskedasticity[J].Journal of Econometrics,1986,31(3):307-327.
[17] ENGLE R F,LILEN D M,ROBINS R P.Estinating time varying-risk premia in the tem structure the ARCH-M model[J].Econometrica,1987,55:391-407.
[18] GLOSTEN L R,JAGANATHAN R,RUNKLE D E.On the relation between the expected value and the volatility of the nominal excess return on stocks[J].Journal of Finance,1993,48:1779-1801.
[19] 孙晓波,刘海涛.中药材大品种全产业链创新研究的模式构建[J].中国现代中药,2018,20(1):1-5. [20] 单峰,黄璐琦,郭娟,等.药食同源的历史和发展概况[J].生命科学,2015,27(8):1061-1069. [21] 黄璐琦,苏钢强,张小波,等.中药材产业扶贫重点优先区域划分和推荐种植中药材名录整理[J].中国中药杂志,2017,42(22):4319-4328. [22] 陈庆,尹悦,杨峰.2018年中药材市场走势分析及2019年行业展望[J].中国现代中药,2019,21(4):532-535,541. -
期刊类型引用(2)
1. 姚琦馥，黄明艳，鲁道旺，田文勇. 我国道地药材价格指数波动研究——以贵州艾纳香、钩藤等八种优质中药材为例. 价格理论与实践. 2021(02): 87-90 . 
百度学术
2. 李优柱，杨鸿宇，刘进思，付辉，陈顺杰. 我国中药材价格指数预测研究. 华中农业大学学报. 2021(06): 50-59 . 百度学术
其他类型引用(2)
计量
- 文章访问数: 0
- HTML全文浏览量: 0
- PDF下载量: 0
- 被引次数: 4
下载:
