基于多元GARCH模型大豆期货价格的实证研究  

Empirical Study of Soybean Futures Price Based on Multivariate GARCH Model

作　　者：毛春元[1] 刘萍萍[1] 

机构地区：[1]淮海工学院商学院,江苏连云港222005

出　　处：《淮海工学院学报（自然科学版）》2016年第2期53-58,共6页Journal of Huaihai Institute of Technology:Natural Sciences Edition

基　　金：江苏省社会科学应用研究精品工程项目(16SYC-087)

摘　　要：以2013年1月4日—2014年4月30日期间的豆一指数日结算价格为例,运用多元GARCH模型对大豆期货收益率波动特征进行了实证分析.结果表明,大豆期货收益率具有尖峰厚尾的特征,并且具有时间可变性以及集聚性.同时大豆期货收益率会受相关期货收益率变动的影响,其中受玉米期货收益率影响较大.各期货市场波动具有持续性,但4个期货市场间不存在协同持续性.Taking day settlement price of Douyi index between January 4,2013 and April 30,2014 as the example,this paper makes an empirical analysis on soybean futures return volatility characteristics by using multivariate GARCH model.The results show that soybean futures return has the characteristics of higher peak and fat tail,and time variability and clustering.Meanwhile,soybean futures return will be affected by changes in the underlying futures return,in which corn futures return suffers much influence.Each futures market volatility has a continuing nature,while synergistic continuity does not exist between four futures market.

关 键 词：大豆期货 收益率波动性 多元GARCH模型 

分 类 号：F832[经济管理—金融学]