中国畜产品价格长记忆性特征分析及预测

本文利用序列自相关函数图和运用R/S重标极差法计算的Hurst值，基于1994年6月-2016年8月猪肉、牛肉、羊肉等主要畜产品价格，对畜产品价格长记忆性进行研究，同时利用分数阶差分后序列建立AFRIMA模型，并与ARIMA模型预测精度进行对比。研究结果表明：中国畜产品价格波动具有长记忆性特征；基于长记忆性特征的AFRIMA模型预测精度较高。预测近期猪肉价格波动率回落，处于低速波动状态；牛肉价格波动率逐步降低，上涨乏力，羊肉价格预计跌幅不大，价格处于僵持状态。建议在研究和预测畜产品价格波动规律时应该充分考虑长期记忆性问题，相关部门在制定相关宏观调控政策时，应考虑价格具有长记忆性特征，关注前期价格波动规律和未来价格波动的相关性。

Analysis on Long Memory and Prediction of Animal Product Price in China

Based on the main livestock products prices from June 1994 to August 2016 including pork,beef and lamb through a sequence of self correlation function diagram and Hurst value,this paper uses R/S rescaled range method to measure the long memory of animal products prices.At the same time,the model of AFRIMA and ARIMA was established in order to compare the prediction accuracy after calculating fractional differential order.The result shows that the price of animal products has long memory and slow sequence decay process,the accuracy of AFRIMA prediction is high,pork price volatility is predicted to fall in the state of low speed fluctuations,beef prices show gradually reduced volatility and rising weakness.Lamb prices are expected to decline and the price is in a stalemate recently.Therefore,this paper proposes that long term memory should be fully considered in the research and forecast of fluctuation of livestock product prices.The relevant departments should consider the long memory characteristics of the price and pay more attention to the correlation of pre price volatility and future price fluctuation in the formulation of relevant macro control policies.