• 时代投研 | 基于ARIMA模型的猪价走势预测:疫情致短缺加剧,未来两月最高或攀至47元

    公司 > | Time Weekly - 2019-02-05 22:18:20 来源:时代商学院
  • 时代商学院实习研究员 黎绮婷

    编辑 郭吉桐 

    JINRU21SHIJIYILAI,WOGUOYIJINGLILE4GEWANZHENGDEZHUZHOUQI。ZI2015NIAN3YUEZHIJIN,WOMENZHENGCHUYUDI5GEZHUZHOUQIZHIZHONG。 

    三d基本走势图30期2018NIAN8YUE,WOGUODUODIBAOFAFEIZHOUZHUWENYIQING,DALIANGSHENGZHUZAODAOPUSHA,SHENGZHUCUNLANLIANGXIAJIANG,DAOZHI2019NIANZHUROUJIAGEFENGZHANG,ZHEIYILUNZHUZHOUQIYEYINCIBEICHENGWEI“CHAOJIZHUZHOUQI”。 

    2020NIAN1YUE,SHENGZHUCHANNENGSHANGWEIQUANMIANHUIFU,XINXINGGUANZHUANGBINGDUYIQINGZAIWOGUOBAOFA,DUOSHUQIYEYANHOUFUGONG,ZHEIDAOZHIZHUROUGONGYINGLIANGJINYIBUDUANQUE。JINRI,QUANGUODUODIZHUROUJIAGECHENGBUTONGCHENGDUSHANGZHANG。 

    ZHUROUGONGYINGBAOZHANGYIBEITISHENGDAO“SHIGUANMINSHENG、SHIGUANDAJU”DEGAODU,DUIZHUROUJIAGEDEYUCEYEXIANDEYOUWEIZHONGYAO。

    三d基本走势图30期JIANYUZHUROUJIAGEJUYOUZHIHOUXINGYIJIZHOUQIXING,WOMENJIANLILEARIMAMOXING(ZIHUIGUIYIDONGPINGJUNMOXING),DUIZHUROUJIAGEJINXINGDUANQIYUCE。JIEGUOXIANSHI,SHOUYIQINGYINGXIANG,NIANHOUZHUROUJIAGECHENGSHANGZHANGQUSHI,WEILAILIANGYUEZHUROUJIAGEHUOJIANGRENGCHUYUGAOWEI,ZUIGAOKEPANZHI47YUAN/GONGJIN。

    一、   猪肉市场现状

    1.猪肉供应结构

    WOGUOZHUROUSHICHANGDEGONGYINGLAIYUANZHUYAOWEIZICHANZHUROU、JINKOUZHUROUYIJIGUOJIATOUFANGDECHUBEIDONGZHUROU。 

    GENJUJINRIGUOJIATONGJIJUFABUDESHUJU,2019NIANWOGUOZHUNIUYANGQINROUCHANLIANG7649WANDUN,BISHANGNIANXIAJIANG10.2%,QIZHONGZHUROUNIANCHANLIANGWEI4255WANDUN,TONGBIXIAJIANG21.2%;SHENGZHUCUNLANLIANGWEI31041WANTOU,TONGBIXIAJIANG27.5%;SHENGZHUCHULANLIANGWEI54419WANTOU,TONGBIXIAJIANG21.6%。 

    HAIGUANZONGSHUGONGBUDESHUJUXIANSHI,2019NIANQIAN11GEYUEWOGUOROULEI(BAOHANZASUI)JINKOULIANGWEI548.5WANDUN,TONGBIZENGZHANG42%。QIZHONG,JINKOUZHUROU183.8WANDUN、ZHUROUZASUI99.9WANDUN,FENBIETONGBIZENGZHANG66%HE3.5%。 

    WEILEHUANJIEZHUROUDUANQUEWENTI,WOGUO2019NIANQUANNIANZHONGYANGCHUBEIDONGZHUROULEIJITOUFANG17WANDUN,2020NIAN1YUE3RI、9RI、17RI、21RIFENBIETOUFANGCHUBEIDONGZHUROU3WANDUN、2WANDUN、3WANDUN、2WANDUN。

    image.png

    数据来源:公开信息,时代商学院整理

    2.猪肉价格走势回顾                                        

    JUNONGYENONGCUNBUTONGJISHUJU,2018NIAN2YUEZHI2019NIAN6YUE,WOGUOZHUROUPIFAJUNJIAZAI19YUANMEIQIANKEFUJINBODONG,2019NIAN7YUEQIJIAGECHENGKUAISUSHANGZHANGQUSHI,ZHIZHITONGNIAN10YUEFEN,ZHUROUPIFAJUNJIAWENDINGZAI45YUANMEIQIANKEFUJIN。

    image.png

    数据来源:农业农村部,时代商学院整理

    ZHUROUJIAGEJUYOUZHIHOUXING。2019NIAN7-9YUEZHUROUJIAGEDEFEISUSHANGZHANG,ZHUYAOYUANYUZHUROUGONGYINGDEBUZU。2018NIANFEIZHOUZHUWENYIQINGZAIWOGUODUODIBAOFA,WOGUOSHENGZHUPUSHALIANGDA120WANTOU,ZHIJIEDAOZHI2019NIANSHENGZHUCUNLANLIANGDAFUXIAJIANG,ZHUROUNIANCHANLIANGTONGBIXIAJIANG21.2%。JUTONGJI,WOGUOMEIRIZHUROUXIAOHAOLIANGDA155WANTOU,JINGUANQUANNIANJINKOUZHUROULIANGDA183.8WANDUN,DANRENGWUFATIANBUWOGUOZHUROUSHICHANGDEQUEKOU。 

    JINRU11YUE,ZHUROUGONGYINGDUANQUEZHUANGKUANGYOUSUOHUANJIE。JUGUOJIATONGJIJUSHUJU,2019NIAN11YUEWOGUOCPITONGBIZENGZHANG4.5%。QIZHONG,SHIPINZENGZHANG19.1%,YINGXIANGCPIYUE3.72GEBAIFENDIAN。CONGHUANBISHANGKAN,CPISHANGZHANG0.4%,ZHANGFUJIAO10YUEHUILUO0.5GEBAIFENDIAN,QIZHONG,SHIPINJIAGESHANGZHANG1.8%,ZHANGFUHUILUO1.8GEBAIFENDIAN,YINGXIANGCPISHANGZHANGYUE0.39GEBAIFENDIAN;ZHUROUJIAGESHANGZHANG3.8%,ZHANGFUHUILUO16.3GEBAIFENDIAN,ZHUROUJIAGEQUYUWENDING。 

    3. 疫情对猪肉市场影响分析

    三d基本走势图30期JUSHANGWUBUJIANCESHUJU,JIEZHI1YUE30RI,ZHUROUJIAGEWEI49.54YUANMEIGONGJIN,BIQIANYIRISHANGZHANG0.4%,YUCHUNJIEQIANXIANGBISHANGZHANG3.6%。2020NIAN1YUEXINXINGGUANZHUANGBINGDUBAOFA,SHOUYIQINGYINGXIANG,CHUNJIEJIAQIYANZHANGZHI2YUE10RI。YOUYUBUFENDIQUTUZAIYEFUGONGYANHOU,DUOSHUZHUROUSHICHANGCHUYUTINGYEZHUANGTAI,DAOZHIJINRIZHUROUJIAGEYOUSUOZENGZHANG。SHUJUXIANSHI,2020NIAN2YUE1RIQUANGUOLEIJIYOU15GESHENGFENZHUROUJIAGEJIAOQIANYIRISHANGZHANG。SHANGZHANGDIQUZHUYAOJIZHONGZAIDONGBEI、HUANAN、HUABEI。

    image.png

    数据来源:农业农村部,时代商学院整理

    DANXINXINGGUANZHUANGFEIYANYIQINGDUIZHUROUSHICHANGDEYINGXIANGSHIDUANZANDE。XINXINGGUANZHUANGBINGDUYIQINGSHICHUNJIEJIAQIYANZHANG,TUZAIYEYANZHANGFUGONG,RENLIUWULIUYESHOUDAOLEBUTONGCHENGDUDEXIANZHI。TONGSHI,XIANGGUANFANGYICUOSHIJINZHIRENHEXINGSHIXIAOSHOUHUOQIN,SHENZHIBUSHAOCAISHICHANGBEIGUANBI,SHIDE1YUEFENSHENGZHUCHULANLIANGYOUSUOJIANSHAO。

    BUGUO,WOGUOSHENGZHUCUNLANLIANGWEILAIYOUWANGWENBUZENGJIA。GONGKAISHUJUXIANSHI,2019NIANDISIJIDUWOGUONENGFANMUZHUCUNLANLIANGHESHENGZHUCUNLANLIANGHUANBICHUYUYOUJIANGZHUANSHENGJIEDUAN,2020NIANJIANGYANXUZHEIYITAISHI。YISHANGSHIGONGSIWEILI,2019NIANMO,ZHENGBANGKEJI(002157.SZ)MUZHUCUNLANLIANGDAZENGZHI119.75WANTOU,JIAO2019NIANSANJIDUMODAZENG83.4%,2020NIANSHENGZHUCHULANYOUWANGDADAO1100WAN-1300WANTOU;2020NIAN1YUEMO,AONONGSHENGWU(603363.SH)SHENGZHUCUNLAN34.34WANTOU,JIAO2019NIAN1YUEMOZENGZHANG65.2%,JIAO2019NIAN12YUEMOZENGZHANG14.94%。

    二、   ARIMA模型:未来两月最高或达47元

    TUFASHIJIANWANGWANGHUIDUISHICHANGDAILAIYIDINGYINGXIANG,WOGUOZHUROUSHICHANGRENGWEIZOUCHUFEIZHOUZHUWENDEYINMAI,QUEZAICISHOUDAOXINXINGGUANZHUANGBINGDUYIQINGDECHONGJI,DAOZHIZHUROUJIAGEBODONGDEBUQUEDINGXINGYOUSUOZENGJIA。YUGUANGDARENMINQUNZHONGERYAN,ZHUROUJIAGEDEBIANDONGYINGXIANGZHEQIRICHANGXIAOFEIKAIXIAO;YUGUOJIAERYAN,ZHUROUJIAGEDEBODONGYIDINGCHENGDUSHANGYINGXIANGZHEWOGUODEHONGGUANJINGJI,YINCI,DUIZHUROUJIAGEDEYUCEYOUWEIZHONGYAO。

    三d基本走势图30期ARIMAMOXINGDEJIBENSIXIANGSHI,JIANGYUCEDUIXIANGSUISHIJIANTUIYIERXINGCHENGDESHUJUXULIESHIWEI—GESUIJIXULIE。YISHIJIANXULIEDEZIXIANGGUANFENXIWEIJICHU,YONGYIDINGDESHUXUEMOXINGLAIJINSIMIAOSHUZHEIGEXULIE。MOXINGBEISHIBIEHOU,JIUKECONGSHIJIANXULIEDEGUOQUZHIJIXIANZAIZHILAIYUCEWEILAIZHI。ARlMAMOXINGZAIJINGJIYUCEGUOCHENGZHONGJIKAOLVLEJINGJIXIANXIANGZAISHIJIANXULIESHANGDEYICUNXING,YOUKAOLVLESUIJIBODONGDEGANRAOXING,DUIYUJINGJIYUNXINGDUANQIQUSHIDEYUCEZHUNQUELVJIAOGAO,SHIJINNIANYINGYONGBIJIAOGUANGFANDEFANGFAZHIYI。 

    三d基本走势图30期WOMENTONGGUOJIANLIARIMAMOXING,DUIZHUROUPIFAJUNJIAJINXINGDUANQIYUCE。 

    1.数据准备

    三d基本走势图30期SHUJUDEZHILIANG、SHUJULIANGDEDAXIAOYINGXIANGMOXINGDEYUCEXIAOGUO。XINXINGGUANZHUANGBINGDUYIQINGZAI1YUEFENDAGUIMOBAOFA,KAOLVDAOSHUJUDEKEKAOXING,ZUIZHONGJUEDINGCAIYONGNONGYENONGCUNBUFABUDE2019NIANDI33ZHOUDAO2020NIANDI3ZHOUDEZHUROUPIFAJUNJIAYUEDUSHUJU。

    图表4:2019年第33周到2020年第3周猪肉批发均价月度数据

    image.png

    数据来源:农村农业部,时代商学院整理

    2.模型的建立

    LIYONGRYUYANBIANCHENGJIANLIARIMAMOXING。SHOUXIANJIANLIZHUROUJIAGESHIJIANXULIEdata_ts,BINGHUIZHISHIXUTU。

    图表5:猪肉价格时序图

    image.png

    数据来源:时代商学院

    CONGXULIETUKEYIKANCHU,2019NIAN6YUEZHI2020NIAN1YUEZHUROUJIAGECHENGSHANGSHENGQUSHI,BINGMINGXIANWEIFEIPINGWENXULIE。DANYOUYUTONGGUOSHIXUTUJIANCEXULIESHIFOUPINGWENJUYOUYIDINGDEZHUGUANXING,YINCIJINYIBUDUIXULIEJINXINGADFJIANYAN。JIANYANJIEGUORUXIA:

    图表6:ADF检验结果

    image.png

    数据来源:时代商学院

    三d基本走势图30期CONGTU5KEYIDEZHI,ADFJIANYANTONGJILIANGWEI-1.5051,QIPZHIWEI0.7609,DAYUXIANZHUXINGSHUIPING0.05,YINCIRENWEIXULIEWEIFEIPINGWENXULIE。WEILEXIAOCHUXULIEDEQUSHIXINGYIJISHIQIDADAOPINGWEN,XIAMIANDUIXULIEJINXINGYIJIECHAFEN。

    图表7:一阶差分时序图

    image.png

    数据来源:时代商学院

    三d基本走势图30期CONGYIJIECHAFENSHIXUTUKEYIKANCHU,XULIEJINGGUOYIJIECHAFENHOUQUSHIXINGYOUSUOJIANRUO,JINYIBUTONGGUOADFJIANYANPANDUANXULIEDEPINGWENXING。

    图表8:一阶差分序列的ADF检验结果

    image.png

    数据来源:时代商学院

    CONGJIEGUOKEYIKANCHU,YIJIECHAFENXULIEDEADFJIANYANTONGJILIANGWEI-2.9778,QIPZHIWEI0.1999,RENGDAYU0.05,YINCIYIJIECHAFENXULIERENGWEIFEIPINGWENXULIE。

    DUIXULIEZUOERJIECHAFEN、SANJIECHAFENHOU,ADFJIANYANRENGWEITONGGUO,SHUOMINGXULIERENGWEIFEIPINGWENXULIE,YINCIJINYIBUZUOSIJIECHAFEN。

    图表9:四阶差分时序图

    image.png

    数据来源:时代商学院

    YOUSIJIECHAFENSHIXUTUKEZHI,SIJIECHAFENXULIEWEIRAOZAI0FUJINBODONG,BODONGFANWEIZAI-4DAO6ZHIJIAN,QIADFJIANYANJIEGUORUXIA:

    图表10:四阶差分序列的ADF检验结果

    image.png

    数据来源:时代商学院

    三d基本走势图30期JIEGUOXIANSHI,SIJIECHAFENXULIEDEADFJIANYANTONGJILIANGWEI-3.6391,QIPZHIWEI0.04721,XIAOYUXIANZHUXINGSHUIPING0.05,YINCIRENWEISIJIECHAFENXULIESHIPINGWENXULIE。 

    HUIZHISIJIECHAFENXULIEDEZIXIANGGUANTUHEPIANZIXIANGGUANTU,DUIARIMAMOXINGJINXINGDINGJIE。

    图表11:四阶差分序列自相关图和偏自相关图

    image.png

    数据来源:时代商学院

    三d基本走势图30期YOUJIEGUOKEZHI,SIJIECHAFENXULIEDEZIXIANGGUANHANSHUCHENGYIJIEJIEWEI,PIANZIXIANGGUANHANSHUWEITUOWEI,CHUBUPANDUANJIANLIARIMA(0,4,1)MOXING,BINGYONGRYUYANZIDONGHUOQUZUIYOUARIMAMOXING,JIEGUORUXIA:

    图表12:自动获取最优ARIMA模型结果

    image.png

    数据来源:时代商学院

    TONGGUODUIBIDUOGEARIMAMOXINGKEZHI,ARIMA(2,1,0)MOXINGZUIHAO,QIAICZHIWEI76.87。JIEXIALAIJIANLIARIMA(0,4,1)MOXINGYUZHIDUIBI。

    图表13:ARIMA(0,4,1)模型

    image.png

    数据来源:时代商学院

    ARIMA(0,4,1)MOXINGDEAICZHIWEI88.6,DAYUARIMA(2,1,0)DEAICZHI76.87,YINCI,ARIMA(2,1,)MOXINGGENGYOU。 

    3.猪肉价格预测

    三d基本走势图30期LIYONGARIMA(2,1,0)MOXINGYUCE2020NIANDI4ZHOUDAODI11ZHOUDEZHUROUPIFAJUNJIA。JIEGUORUXIA:

    图表14:未来两个月的猪肉预测价格

    image.png

    数据来源:时代商学院

    CONGJIEGUOSHANGKAN,WEILAILIANGYUEZHUROUJIAGEYUJIRENGCHUYUGAOWEI。ZHUROUJIAGEYUCEXIANRUXIA:

    图表15:猪肉价格预测线及序列效果拟合图

    image.png

    数据来源:时代商学院

    TU13HEIXIANWEI2019NIANDI33ZHOUDAO2020NIANDI3ZHOUDEZHUROUPIFAJUNJIAQUXIAN,LANXIANWEIWEILAI8ZHOU(2020NIANDI4ZHOUZHI11ZHOU)ZHUROUPIFAJUNJIAYUCEXIAN,QISUOZAIDEYINYINGBUFENWEIYUCEJIAGEBODONGFANWEI,TU13DEYOUTUHONGXIANWEIARIMA(2,1,0)MOXINGDENIHEQUXIAN,HONGXIANYUHEIXIANJIBENZHONGDIE,KEJIANNIHEXIAOGUOJIAOHAO。DUIMOXINGCANCHAXULIEJINXINGJIANYAN,JIEGUORUXIA:

    图表16:残差序列检验结果

    image.png

    数据来源:时代商学院

    JIEGUOXIANSHI,KAFANGTONGJILIANGWEI0.094521,QIPZHIWEI0.7585,DAYUXIANZHUXINGSHUIPING0.05,YINCIRENWEICANCHAXULIEWEIBAIZAOSHENGXULIE,SHUOMINGJIANMOCHENGGONG,YUANSHIXULIEDEXINXIYICHONGFENTIQU。

    SAN、JINDINGGUONEIGONGYINGYUHAIWAIJINKOU

    ZHONGGUOSHIQUANQIUZUIDADEZHUROUSHENGCHANGUOHEXIAOFEIGUO,YINIANDAGAIYAOSHENGCHANHEXIAOFEI5YITOUZHU,ZHANQUANQIUZHUROUSHENGCHANHEXIAOFEILIANGJINYIBAN。PINGJUNXIALAI,MEIGEZHONGGUORENYINIANXIAOFEIDIAOJIN40GONGJINZHUROU,YUANGAOYUNIUYANGROUHEQITASUOYOUROULEIDEZONGHE。 

    MUQIAN,XINXINGGUANZHUANGBINGDUYIQINGDAOZHIZHUROUGONGYINGDUANQUEJUMIANJIAJU,DANWEILAISUIZHEYIQINGTUISAN,GEXINGYEZHENGCHANGYUNZUO,WOGUOSHENGZHUCHANNENGYEJIANGMANMANHUIFU。 

    DANZAIFEIZHOUZHUWENYINGXIANGXIA,YANGZHUDEJISHUYAOQIUHEZIJINYAOQIUDAFUTISHENG,SHENGZHUYANGZHIDEMENJIANJIANGBUDUANZOUGAO,ZHONGXIAOGUIMODEYANGZHIQIYEJIANGZAIZHEILUNZHOUQIZHONGLUXUTUICHUSHICHANG,YANGZHUYEJIANGQUXIANGGUIMOHUAFAZHAN,ZHUROUJIAGEYEJIANGQUYUWENDING。 

    CIWAI,JIN10NIANLAIWOGUOZHUROUJINKOULIANGZONGTICHENGZENGZHANGQUSHI,DANZHUYAOQIDAOGONGXUYUQUEDIAOJIEZUOYONG,JINKOUZHUROUZHANGUONEIZHUROUCHANLIANGDEBIZHONGBUCHAOGUO3%,QIEJINKOULAIYUANGUOZHONGDUO,BAOKUODEGUO、XIBANYA、JIANADA、BAXI、MEIGUO、DANMAIDENG。WEILAIWOGUOZHUROUJINKOULIANGHUIFOUZHANJUGENGDABIZHONG,YEZHIDEGUANZHU。 

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