中外白糖期现货价格波动及共生关系研究  

Study of White Sugar Future and Spot Price's Fluctuations and Symbiotic Relationships at Home and Abroad

作　　者：袁庆禄[1,2] 

机构地区：[1]信阳师范学院经济与管理学院,信阳464000 [2]财政部财科所博士后流动站

出　　处：《黑龙江八一农垦大学学报》2012年第6期86-90,共5页journal of heilongjiang bayi agricultural university

基　　金：河南省政府决策研究招标课题(2012B595)

摘　　要：构建GARCH模型,揭示糖11期指、郑糖期指和柳糖现指的波动规律及共生关系。估计结果表明:三种指数均具有尖峰厚尾特征;糖11期指和郑糖期指均存在杠杆效应;国内郑糖期指和柳糖现指表现出明显的共生关系,中外白糖指数之间的共生关系不明显。This paper established GARCH model, and comparatively analysed the fluctuation characteristics and symbiotic relationships of ICE sugar No.l 1 tuture index, Zhengzhou white sugar future index and Liuzhou white sugar spot index. The results showed that three indices had the characteristics of higher peak and fat tail. Both ICE sugar No. 11 future index and Zhengzhou white sugar future index had asymmetry effect. There was a symbiotic relationship between Zhengzhou white sugar future index and Liuzhou white sugar spot index obviously, and wasn＇t a symbiotic relationship between domestie index and foreign index.

关 键 词：GARCH模型 价格波动 共生关系 

分 类 号：F830.9[经济管理—金融学]