›› 2006, Vol. 8 ›› Issue (1): 74-77.
• 农业经济 • 上一篇
高志杰
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作者简介:
GAO Zhi-jie
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摘要：
通过中美小麦期货价格的直接对比，价格收益的对比，运用了GARCH（1，1）模型研究了波动的特征。验证了中国小麦期货市场还不够成熟。郑州小麦期货市场还需要进一步发展与完善，才能在我国粮改中发挥应有的作用。对比研究表明：效率高的美国小麦期货市场，价格收益率的波动持续性强，更好的发挥了期货市场转移风险的功能。扎实做好期货市场的基础工作，切实为投资者服务，进一步加强投资者教育，是我国发展期货市场的根本措施。
关键词: 期货 波动 比较 GARCH模型
Abstract:
The Sino-US wheat future price and the return of price was compared , using the GARCH （ 1,1 ） model, and also the characteristic of the volatility were studied, and the results showed that the Chinese wheat futures market isn ＇t reach the week efficient. For example, Zhengzhou wheat futures market,, which was one of the largest wheat futures market, still needs further development to accelerate food system reform in China. It is also indicate through comparison that US wheat futures market was more efficient and had strong volatility persistence. It is basic measures of develop futures market in China, to steup foundation of futures market and strengthen the investor service and education.
Key words: futures , volatility , comparison , GARCH model
中图分类号:
F832.5
高志杰. 中美小麦期货价格波动特征比较[J]. , 2006, 8(1): 74-77.
GAO Zhi-jie . Comparison on the Price Volatility Between Sino-US Wheat Futures[J]. , 2006, 8(1): 74-77.
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