机构地区: 青岛大学经济学院
出 处: 《青岛大学学报(自然科学版)》 2013年第1期71-75,共5页
摘 要: 对我国郑州商品交易所白糖期货在2006—2011年收益率序列的波动特征进行了实证检验。研究结果表明:白糖期货的收益率分布均表现出尖峰厚尾特征,GARCH(1,1)模型检验结果发现,其α+β值小于1,但非常接近1,表明都具有很强的波动持续性;EGARCH(1,1)和TGARCH(1,1)模型估计的结果则表明白糖期货表现出正的杠杆效应。 The earnings rate of sugar futures in zhengzhou is studied from 2006 to 2011. Result shows that the kurtosis of sugar is larger than the normal distribution; the GARCH(1, 1) prove that the value of a+ β is smaller than 1 but near 1, which prove that the volatility is strongly persist; the EGARCH(1, 1) and TGARCH(1, 1) models prove that the sugar has positive leverage effect.
领 域: [经济管理]