Research Article | OPEN ACCESS
Research on Price Fluctuation of Edible Fungi: The ARMA-ARCH Model-Take Mushrooms as an Example
1, 2Qing Guo and 1Dike Zhang
1School of Economics and Management, China University of Geosciences, Wuhan, Hubei 430074, China
2Department of Industrial Engineering, Technical University of Madrid, Madrid 28006, Spain
Advance Journal of Food Science and Technology 2016 1:82-87
Received: September ‎17, ‎2015 | Accepted: October ‎30, ‎2015 | Published: May 05, 2016
Abstract
As an important forest product, price fluctuation of edible fungi in China is in frequent tendency in recent years. Studying the price fluctuation of edible fungi products is conducive to corresponding policy formulation and the stability of market price of edible fungi products, in order to improve the ability to resist risks. In view of this, the study, taking mushrooms as an example, uses the ARMA model to determine the mean equation, builds the GARCH, TARCH, GARCH-M, EGARCH model and take data analysis of the monthly wholesale market price from January 2005 to December 2012. The results indicated: the price series of mushrooms has the characteristics of fat-tail and volatility clustering; the impact of price volatility on future in the mushroom market will gradually disappear; producers’ expected return of investment on mushrooms increases with the price volatility of mushrooms; mushrooms price fluctuation have no obvious leverage effect.
Keywords:
ARCH model, mushroom, price fluctuation, products of edible fungi, volatility clustering,
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