摘要
通过对中国三大期货市场的铜、黄豆和小麦三种主要期货品种收益率的分布与波动性的实证分析 ,论证了其时间序列存在ARCH效应 ;运用GARCH模型对这三种期货品种进行了拟合分析和统计检验 ,检验结果表明这三个期货品种的波动性均具有很高的持续性 ,但大连黄豆的波动持续性弱于上海铜和郑州小麦 ,其波动性受各种外部冲击的影响较大 ;通过GARCH( 1 ,1 )的市场有效性检验 ,论证了中国期货市场尚未达到弱式有效 ,市场风险较大。
By analyzing the distribution and volatility of the return rates of Chinese copper, bean and wheat futures, it has been found that there exists the ARCH effect in the return time series. Through fitting and statistic test, the GARCH(1,1) model shows that the fluctuations of the three futures markets have great persistence although the beans futures in Dalian is weaker than the copper futures in Shanghai and wheat futures in Zhengzhou. By the GARCH(1,1) model, we verifies that the Chinese futures market doesn't reach the stage of weak market efficiency until now, which proves to be of high risk.
出处
《财贸研究》
北大核心
2004年第5期16-22,共7页
Finance and Trade Research
基金
国家自然科学基金项目"期货市场过度投机的诊断及其防范与监管研究"(批准号 :70 44 10 0 4)。
中国期货业协会联合研究计划项目"以净资本为核心的期货公司风险监控体系研究"(编号 :GT2 0 0 40 1)。
