摘要
以上海纸浆期货市场为研究对象,选取2018年11月27日至2021年2月28日的上海纸浆期货连续日收盘价作为样本数据,构建GARCH族模型对上海纸浆期货市场的价格波动特征进行实证研究。结果表明:纸浆期货市场存在波动聚集性、异方差性以及持续性等特征;纸浆期货市场利空消息对未来波动的影响明显小于相同幅度的利好消息的冲击;基于GED分布的GARCH族模型能更好地刻画上海纸浆期货的波动特征,其中GED-GARCH(1,1)模型表现最优。根据结论提出了政府监管部门应该加大信息披露力度,提供多样化产品,投资者应提高投资意识,密切关注期货市场信息,进行理性投资等建议。
Taking the Shanghai pulp futures market as the research object, this paper selected the consecutive daily closing prices of Shanghai pulp futures from November 27, 2018 to February 28, 2021 as sample data. It conducted an empirical study on the price fluctuation characteristics of Shanghai pulp futures market by building GARCH family model. The empirical results showed that the pulp futures market had the characteristics of volatility clustering, heteroscedasticity and persistence, the impact of bad news in the pulp futures market on future volatility was significantly less than the impact of good news of the same magnitude;the GARCH family model based on the GED distribution could be more a good description of the volatility characteristics of Shanghai pulp futures, among which the GED-GARCH(1,1) model performs best. According to the conclusion, itsuggested that government regulatory agencies should increase information disclosure and provide diversified products. Investors should increase their investment awareness,pay close attention to futures market information and make rational investments.
作者
刘逸飞
杨爱军(指导)
LIU Yi-fei(College of Economics and Management,Nanjing Forestry University,Nanjing 210037,China)
出处
《中国林业经济》
2021年第5期122-125,共4页
China Forestry Economics
