基于TGARCH模型的农村居民消费指数分析

Rural Consumer Price Index based TGARCH Model

doi:
10.3969/j.issn.0517-6611.2017.28.074
摘要:
近年来,保持农业发展平衡和提高农民收入,已成为中共中央发展中国经济的政策目标之一,而农村居民消费指数也直接影响金融市场的调整.通过寻找农村居民消费指数的时间序列数据,从对其波动性进行预测的角度出发,探索时间序列波动的异方差性质,以及时间序列对正信息和负信息的差异波动模式的条件,建立门限广义自回归条件异方差模型,预测农村居民消费指数,并对其进行验证.
Abstract:
In recent years, stabilizing agriculture and increasing the income of farmers has become the development of one of China's economic policy orientation in the central decision-making,and rural consumer price index affected financial market to adjust.So, we can launch the quantitative modeling of volatility has become one of the core content of research on financial asset volatility, by finding namely the rural con-sumer price index, the volatility of its modeling, then from the perspective of the forecast of its volatility, considering the different variance of time series volatility properties, as well as the time series of positive information and negative information, on the basis of different wave pat-terns, with the threshold of generalized autoregressive conditional heteroscedastic model, namely the TGARCH model for modeling, forecast future rural consumer price index, and verificated it.
作者 李明昕    唐俊
Author: LI Ming-xin    TANG Jun
作者单位 内蒙古科技大学理学院,内蒙古包头,014010
刊 名: 安徽农业科学   ISTICPKU
Journal: Journal of Anhui Agricultural Sciences
年,卷(期) 2017, 45(28)
分类号 S-9
关键词: 时间序列 知识脉络    TGARCH 知识脉络    农村居民消费指数 知识脉络   
Keywords: Time series    TGARCH    rural consumer price index   
机标分类号
基金项目 内蒙古科技大学创新基金项目,内蒙古自治区高等学校科学技术研究项目,内蒙古自治区自然科学基金项目(2017MS
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