本文選題：煤炭價(jià)格　切入點(diǎn)：GARCH模型　出處：《價(jià)格月刊》2017年09期 　論文類型：期刊論文

【摘要】：為了研究煤炭價(jià)格波動(dòng)規(guī)律,以秦皇島大同優(yōu)混煤2003年3月~2017年5月現(xiàn)貨價(jià)格為實(shí)證研究對象,分別采用普通最小二乘法和GARCH模型對煤炭價(jià)格時(shí)間序列進(jìn)行擬合。實(shí)證結(jié)果表明:煤炭價(jià)格時(shí)間序列表現(xiàn)出隨機(jī)波動(dòng)趨勢,GARCH(1,1)模型擬合效果優(yōu)于最小二乘法;外部沖擊會(huì)加劇煤炭價(jià)格波動(dòng),煤炭價(jià)格時(shí)間序列具備長期記憶性;波動(dòng)率序列具備ARCH效應(yīng),ARCH項(xiàng)系數(shù)和GARCH項(xiàng)系數(shù)之和略大于1,說明煤炭價(jià)格波動(dòng)的持續(xù)性較強(qiáng)。
[Abstract]:In order to study the fluctuation law of coal price, the spot price of Datong you mixed coal in Qinhuangdao from March 2003 to May 2017 is taken as the empirical research object. The general least square method and GARCH model are used to fit the time series of coal price respectively. The empirical results show that the coal price time series shows a random fluctuation trend and the fitting effect of the model is better than that of the least square method. The external shock will aggravate the coal price fluctuation, the coal price time series has the long-term memory, the volatility series has the ARCH effect and the sum of the arch coefficient and the GARCH term coefficient is slightly more than 1, which indicates that the coal price fluctuation has strong persistence.
【作者單位】： 西安科技大學(xué)管理學(xué)院;西安科技大學(xué)能源經(jīng)濟(jì)與管理研究中心;
【基金】：國家自然科學(xué)基金“煤炭資源采礦權(quán)估價(jià)理論與方法”(編號(hào):71273207) 陜西省科學(xué)技術(shù)研究發(fā)展計(jì)劃項(xiàng)目“基于案例推理的煤炭資源采礦權(quán)估價(jià)方法”(編號(hào):2011kjxx54) 陜西省留學(xué)人員科技活動(dòng)擇優(yōu)資助項(xiàng)目
【分類號(hào)】：F426.21;F764.1

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