Dynamic Correlation Research on Grain Markets Based on DCC-GARCH Model

DOI

10.2991/essaeme-17.2017.157How to use a DOI?

Keywords

Grain markets, Dynamic correlation, DCC-GARCH model

Abstract

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.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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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  - 10.2991/essaeme-17.2017.157
ID  - Ge2017/07
ER  -