Dynamic Correlation Research on Grain Markets Based on DCC-GARCH Model
Yan Ge, Haixia Wu
Available Online July 2017.
- https://doi.org/10.2991/essaeme-17.2017.157How to use a DOI?
- Grain markets, Dynamic correlation, DCC-GARCH model
- Based on the week data of the national wheat, corn and soybean wholesale price index from January 9, 1998 to June 22, 2012, the paper inspected the dynamic correlation among the markets of national wheat, corn and soybean using the DCC-GARCH model. The results show that the standardized residual product of the lag stage has a significant influence on the dynamic correlation coefficient. However, the persistence of dynamic correlation among the three markets is not obvious and the correlation coefficient is low. It shows that there is a clear market segmentation phenomenon in China's grain market. Therefore, the profit space of the decentralized investment is still very large, and the price fluctuation is very exogenous.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Yan Ge AU - Haixia Wu PY - 2017/07 DA - 2017/07 TI - Dynamic Correlation Research on Grain Markets Based on DCC-GARCH Model BT - Proceedings of the 2017 3rd International Conference on Economics, Social Science, Arts, Education and Management Engineering (ESSAEME 2017) PB - Atlantis Press SN - 2352-5398 UR - https://doi.org/10.2991/essaeme-17.2017.157 DO - https://doi.org/10.2991/essaeme-17.2017.157 ID - Ge2017/07 ER -