江苏科技信息 ›› 2015, Vol. 32 ›› Issue (34): 22-23.doi: 10.3969/j.issn.1004-7530.2015.34.032
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钱浩韵
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Qian Haoyun
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摘要: 在经济运行过程中,CPI的波动会受到各种因素的影响,而且影响时间、影响程度和影响方式复杂多变.文章选取2007-2014年我国CPI月度数据,通过平稳性检验和差分处理,建立GARCH-M模型.结果表明:我国居民消费者价格指数具有明显的波动聚集性和不对称性,GARCH-M模型能较好地拟合和预测我国CPI波动情况.
关键词: CPI, GARCH-M模型, 条件异方差
Abstract: In the course of economic operation, the fluctuation of CPI will be influenced by various factors. In this paper,we use a GARCH-M model to analyze and forecast the short-time CPI,which was based on the monthly data from 2007 to 2014. Meanwhile,we use the stationary test and differential treatment to inspect their natures. It is found that the CPI has autoregressive conditional heteroskedasticity ,the volatility clustering.This GARCH-M model model adequately describes the Chinese CPI fluctuation and forecasts the future CPI.
钱浩韵. 基于GARCH-M模型的CPI波动因素分析[J]. 江苏科技信息, 2015, 32(34): 22-23.
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链接本文: https://qkcb.jssti.cn/jskj/CN/10.3969/j.issn.1004-7530.2015.34.032
https://qkcb.jssti.cn/jskj/CN/Y2015/V32/I34/22