摘要
本文研究了我国郑州商品期货交易所小麦期货近三年来的收益时间序列,对其进行了基本的统计学分析,结果发现分布是非正态的,较正态分布有尖峰厚尾,具有长记忆效应。进一步对其中具有ARCH效应的序列合约进行了分析,采用GARCH和EGARCH类模型进行了描述,分析了期货收益的波动集群性和杠杆效应。
In this article the author found, on the bases of his study of the statistical characteristics of wheat futures reward time series in recent year in Zhengzhou Futures Exchange, some abnormality and dependence of futures reward with a thick tail distribution compared with that of normal one. In addition to that, there is also some auto-regressive distributed lag model and GARCG model which shed light on the characteristics of different wheat futures reward time series, which demonstrate the persistence of volatility and the effect of leverage on the reward time series.
基金
国家自然科学基金资助项目
项目编号:70172406。
