Author(s)

Jianlin Peng, Xuerong Xu

Corresponding Author

Jianlin Peng

Abstract

The GARCH model is used to analyze fluctuations in the earning price ratio of indica rice in China from August 1998 to July 2017. The study shows that, the residual sequence of indica rice earning price ratio has a high order ARCH effect and the characteristic of volatility clustering; it does not have the significant feature of high risk and high return. Price fluctuations in the past have slow and spreading effects on current price. External factors have symmetrical impacts on the price of early indica rice, but the impacts are asymmetrical on late indica rice. Negative impacts can cause more price fluctuations in next period.

Keywords

Price of Indica Rice, Garch Model, Fluctuation Analysis, Clustering