Research On Volatility Characteristics And Tail Risk Of Art Price

With the increase of national income,people’s consumption structure has undergone changes,and the trend of art investment and financialization is increasing.Although the initial and development process is relatively short,China’s art market has shown explosive growth.In the context of continuous growth in demand but limited supply level,there have been many disruptions in China’s art market,which has also led to significant fluctuations in art prices.This article studies the fluctuation characteristics and tail risk of art prices,hoping to gain a deeper understanding of the operating laws and mechanisms of the art market,provide theoretical support for the evaluation of art value,and help investors make more rational investment decisions and avoid investment risks,in order to better participate in and promote the development of the art market.This article first reviews the theory of art value evaluation,supply and demand theory,information asymmetry theory,and extreme value theory,and analyzes the mechanism of art transaction and price formation through the characteristics of art,transaction status,and supply and demand relationship.At the same time,empirical analysis was conducted on the fluctuation characteristics of art prices.Through the Generalized Autoregressive Conditional Heteroscedasticity Model(GARCH)analysis,it was found that the volatility of art prices in China is clustered,while the volatility of art prices is asymmetric.The impact of negative news on the art market is slightly greater than that of positive news,indicating that there is a leverage effect in the art market.Artwork not only has the characteristics of ordinary investment products,but also has a significant impact on the price of artworks.In order to better identify the extreme risk of artworks,Extreme Value Theory(EVT)is used to model the tail of the time series of artworks’ price returns,study the distribution characteristics of the tail of artworks’ price returns,and measure the tail risk.In addition,case studies were conducted using the calligraphy and painting market as a sample.Finally,based on the research findings,reasonable policy recommendations were proposed for developing the art market and preventing risks in the art market.