Abstract:

Fruit industry developed rapidly and its competitiveness and substitution for grain were strengthened.Besides,fruit market was unstable.To understand the volatility characteristic and spillover effect of grain and fruit market,and then provide reference for government industrial policy formulation and farmers’ planting decision,this study used the BEKK-GARCH model to estimate the cluster effect and spillover effect of grain and fruit price volatility from January 2009 to September 2017.The results showed that there was a certain clustering effect in grain and fruit price volatility,and the spillover effects between markets were significant;the results of variance impulse response showed that the grain price response to one standard volatility was weak but the adjustment time was long,while the fruit market was just the opposite.Based on these conclusions,it is recommended to optimize the agricultural industrial structure,strengthen fruit characteristics and brand building,develop agricultural products processing industry actively and improve the risk management system for agricultural products market.

Key words: grain, fruit, price volatility, multivariate GARCH model, spillover effect