| 基于长记忆的中国期货市场实证研究 |
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| 引用本文： | 杨桂元,刘坤.基于长记忆的中国期货市场实证研究[J].价值工程,2009,28(8):152-157. |
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| 作者姓名： | 杨桂元 刘坤 |
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| 作者单位： | 安徽财经大学数量经济研究所,蚌埠,233030 |
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| 基金项目： | 教育部人文社会科学研究资助项目，安徽财经大学研究乍科研创新基金资助项目 |
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| 摘 要： | 通过某期货公司研发部编制的期货指数,基于长记忆研究方法,运用经典的R/S分析、修正的R/S分析,分别建立了研究长记忆的ARFIMA模型、FIGARCH模型和ARFLMA-FIGARCH模型。并运用这些模型对我国上海期货交易所的铜、铝、大连期货交易所的大豆、玉米、豆粕以及郑州期货交易所的小麦的收益率序列进行相关研究和分析,得出它们的收益率序列以及收益率波动序列均存在长记忆性,且ARFLMA(0,d1,0)-FIGARCH(1,d2,0)模型的预测效果较好。
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| 关 键 词： | 期货 长记忆 ARFLMA模型 FIGARCH模型 ARFIMA-FIGARCH模型 |
The Empirical Analysing for China Futures Markets Based on Long Memory |
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| Yang Guiyuan,Liu Kun.The Empirical Analysing for China Futures Markets Based on Long Memory[J].Value Engineering,2009,28(8):152-157. |
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| Authors: | Yang Guiyuan Liu Kun |
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| Institution: | Institute of Quantitative Economics;Anhui University of Finance and Economics;Bengbu 233030;China |
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| Abstract: | This paper introduce this method by index futures which is draw up by some futures company.To use of the classic R/S method,revision R/S method and build up the long memory method ARFIMA model,FIGARCH model,ARFIMA-FIGARCH model.at the same time, the authors make some researches on China futures markets copper,aluminum,soybean,wheat,corn yield sequences related researches and analysis through these methods.As a result ,they are all being long memory and find that the models make more precise in forecast. |
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| Keywords: | futures long memory ARFIMA model FIGARCH model ARFIMA-FIGARCH model |
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