摘要
通过对小麦期货市场期货品种收益率的分布与波动性进行实证分析,论证其时间序列存在ARCH效应;运用ARMA-GARCH模型对小麦期货品种进行了拟合分析和统计检验,结果表明小麦期货品种的波动性具有很高的持续性。通过添加到期时间的哑变量,可以证明大多数小麦期货合约存在到期效应。
The ARCH effect of the return time series of Chinese wheat futures is argued by analyzing their distribution of the earnings yield and volatility. The ARMA-GARCH models show that the futures markets are with strong clustering and persistence characteristics. The article proves that the Samuelson Hypothesis dose exist in a majority of the contracts analyzed through adding the dummy variable.
出处
《技术经济》
2007年第7期102-106,128,共6页
Journal of Technology Economics
